Lynda.com has been helping me learn vegas movie studio 6, and she talks about something called sony media library, where you store everything on an external drive. Does that feature or a similar one exist in Vegas Movie Studio 9?
1) Sony Media Manager, which is a database application that helps you track where all your files are. (And yes, this is a full version only feature.)
2) Storing files on an external drive.
These two concepts are completely unrelated. If you want to store your files on an external drive then simply do so. You don't need anything other than the Vegas version you already have an Windows explorer to accomplish this. Simply move the files where you want them to be, then use them from that location within Vegas. It's really that easy.
The only hitch is that if you have already started a project and then move the files, the next time you open Vegas it won't find the files. It will prompt you to tell it where the files are. Specify replacement files and browse to the new directory where you put them. Select the first filename Vegas is looking for. It's smart enough to find the rest of the files there too.