After a few minutes search in the Google, I found my answer. If this problem happen to you, you have to change Internet explorer setting in "Local Group Policy" of your computer. Here is how to do:
1. Type gpedit.msc in run box and click ok. This will open up "Local Group Policy Editor"
2. In the left panel click on User Configuration > Administrative Template > Window Components > Internet Explorer > Toolbars >
3. In the right panel, you will see the "Turn Off Developer Tools" settings. Double click on this and change the value to "Disabled" .
4. Restart the IE9 and you will see the "F12 Developer Tools" menu just like me :D. Enjoy.