I think your derailleur and shifter are not set up quite right.
My suggestion is to shift the chain onto the largest chainring and smallest cog. Disconnect the cable from the rear derailleur and push the small shift knob all the way to the bottom while pulling the loose cable out of the shifter. The idea to to make sure the shifter is in its last position and that as much of the cable as possible is out of the shifter. Screw the barrel adjuster about 3/4 of the way in. If needed adjust the high limit screw and attach the cable to the derailleur using care to route it correctly. there should be no slack in the cable. Try shifting through all cogs, you may need to turn the barrel adjuster out (counter-clockwise) adding tension to the cable.
As you probably know, if you have early 9-speed shifters you also need an early 9-speed rear derailleur.
Last edited by Al1943; 10-26-12 at 05:36 PM.