I got to tell you, I used to be a die-hard lilo user. I now use grub...it is much more flexible. We just had a post from another user with the same issue. Apparently, if you choose to make Windows the default OS, it boots directly. He also used RedHat 9 also. Any possibility to post your grub.conf? We can take a look at it and see if we can get it going correctly.
If not, I can look up the other post and probably guide you along.
There may be one setting (the seconds that grub will pause before booting an OS) to solve the issue. If you have the RedHat install disk #1, then we can probably fix this.
To answer your question more directly, yes, you can change to lilo, but I don't have redhat on any of my systems currently and will have to research this (the easy way) vs. the command line option.
Did you tell Grub to install itself to the MBR or to the root partition?
Did you make a boot floppy by any chance?