L.D.
Depending on your relationship with her father, I would handle the situation two ways.
If you can talk civilly with Gigi's father, I would tell him straight out that he needs to talk to her about the divorce. Explain that she's very upset and that you don't feel it's your place to explain why Daddy's relationship isn't working out, because she is asking! If Gigi asks you about her father, just tell her that you don't know why - her dad is a different person than her step-dad and that is why your marriage will stay together, etc. etc.
If that scenario isn't possible in your situation, it's time for the Birds & Bees talk (if you haven't done so already). A 9 year old can certainly understand what's going on, so tell her straight out. If Daddy is a forever-bachelor type, maybe you can liken it to those reality tv shows everyone seems to be watching (The Batchelor, for instance). Tell her it's ok to talk to Daddy about his girlfriends, about her feelings towards him and seeing him with different girls. Above all, reassure her that NOT ALL BOYS are like that! Use your marriage as an example and to reassure her that it's perfectly normal to have a stable, long-term relationship (even if we married people know that we're no longer in the majority!)
As long as you're giving her a solid, honest ground to stand on, she'll be able to mature well and eventually understand her father's mindset and why he did/does the things he does. She'll probably be in her 20s by then, and hopefully Daddy will have grown up too :)
Good luck!