Thanks for your help. You are right. The actual DLLs were in the "saxonb9-0-0-4n.zip" file. But I did use that one, I only wrote the name wrong in the last message. I tried referencing every single .DLL (even different combinations of them).
I tried referencing: saxon9.dll, saxon9api.dll, IKVM.GNU.Classpath.dll, IKVM.Runtime.dll. I even tried Query.exe and Transform.exe, although I believe they are normally used by command line.
I couldn't reference "saxon9api.netmodule" directly, because monodevelop doesn't treat it as a library file. But I tried copying it in all possible locations in the project so that it is found when needed.
I am afraid I have no knowledge of Mono or Monodevelop, so it's difficult to
help you with this one. One observation is that saxon-resources only
contains documentation and sample applications, it doesn't contain the
actual DLLs. I would expect that if you have saxon9api.dll referenced from
your project then you will be able to use the Saxon.Api namespace. If you
are seeing net.sf.saxon names this would suggest you are referencing
saxon9.dll rather than saxon9api.dll.