In .Net only Visual Basic allows ranges in switch statements, but in C# there is no valid syntax for this.
Tackling your specific problem in C#, I would solve it thus:
if(number >= 1 && number <= 9) // Guard statement
{
    if(number < 5)
    {
        // Case (1 to 4):
        //break;
    }
    else
    {
        // Case (5 to 9):
        //break;
    }
}
else
{
    // Default code goes here
    //break;
}
To illustrate this further, imagine you have a percentage value.
Using your problem as a template, you might wish this to look like:
switch (percentage)
{
    case (0 to 19):
        break;
    case (20 to 39):
        break;
    case (40 to 69):
        break;
    case (70 to 79):
        break;
    case (80 to 100):
        break;
    default:
        break;
}
However, since C# doesn't allow that syntax, here is a solution that C# does allow:
if (percentage >= 0 && percentage <= 100) // Guard statement
{
    if (percentage >= 40)
    {
        if (percentage >= 80)
        {
            // Case (80% to 100%)
            //break;
        }
        else
        {
            if (percentage >= 70)
            {
                // Case (70% to 79%)
                //break;
            }
            else
            {
                // Case (40% to 69%)
                //break;
            }
        }
    }
    else
    {
        if (percentage >= 20)
        {
            // Case (20% to 39%)
            //break;
        }
        else
        {
            // Case (0% to 19%)
            //break;
        }
    }
}
else
{
    // Default code goes here
    //break;
}
It can take a little getting used to, but it's fine once you get it.
Personally, I would welcome switch statements to allow ranges.
The future of C# switch statements
Here are some ideas I had of how switch statements could be improved:
Version A
switch(value)
{
    case (x => x >= 1 && x <= 4):
    break;
    case (x => x >= 5 && x <= 9):
    break;
    default:
    break;
}
Version B
switch(param1, param2, ...)
{
    case (param1 >= 1 && param1 <= 4):
    break;
    case (param1 >= 5 && param1 <= 9 || param2 != param1):
    break;
    default:
    break;
}