Jacob Leonard,
While all the suggestions posted so far are legit, and from knowledgeable people; my guess is that in your current situation, it's either make this radio work for you, or move on to some other pastime.
so, here's what you need to know- what you are experiencing is called "front end overload" which means that the signals coming into your radio from the big powerful AM sports stations and other big commercial radio stations are just too darn strong for your little radio, and so instead of just amplifying that weak signal on 9 mhz, it also amplifies KCCR and any other signal strong enough to overload the receiver.
My guess is that no matter where you tune, these same stations keep finding their way into your receiver. Google front end overload to learn more about it.
the easy fix is to buy a receiver with a more robust and selective front end, but that is most likely not in the cards for you right now.
the cheapest fix is to make what is known as a "broadcast band filter" which basically attenuates any signal from 530-1600KHZ (AM broadcast band) but will allow signals above and below that range.
this is a pretty simple circuit to build and involves buying a couple of ferrite beads, some magnet wire, a couple of capacitors and a small metal box.
here is a link to a schematic of how to build one:
http://www.seekic.com/circuit_diagram/555_Circuit/AM_BCB_500_~_2000kHz_band_pass_filter_circuit.html
you should be able to buy the caps and even the inductors if you don't want to wind your own.
the next thing you need is a good antenna that doesn't need to be outside or high up in the air. for this i recommend the "broomstick antenna".
basically its a wooden dowel like a broom handle with wire wrapped all the way up the handle, with a metal disc (pizza pan) on the top.
here is a link to an article on how to build one:
http://www.hard-core-dx.com/nordicdx/antenna/special/bromstik.html
here's the deal though!
if you just make the antenna and don't use the filter, then you will only bring in more AM commercial stations that will saturate your receivers input and you will be worse off than you are right now.
you have to do both in order to turn that Sanyo into a working shortwave receiver.
best of luck and feel free to ask questions about this here. there are a lot of smart guys here on the forum.
LC