Air Taxi Captain landing GLR reports conflict with Bonanza executing a missed approach from ILS Runway 9 approach. The Bonanza pilot did not follow the published missed approach procedure instead turning left over the approach end of Runway 9; into the path of the reporter on crosswind over the runway.

Narrative

Fifteen miles south of GLR at 4;000 FT MSL we announced intentions enter a mid-field left downwind for Runway 27 (winds reported 230 at 7 KTS). We were cleared for the visual and descended to pattern altitude (2;800 MSL). At 5 miles south we canceled IFR and shortly thereafter a Beech Bonanza reported on 5-mile final; ILS Runway 9 with the intentions of doing a missed approach. Because of the traffic conflict; we opted to switch runways and announced our intentions to enter crosswind for Runway 9. Just prior to entering crosswind over the field the Bonanza began a left climbing turn from over the approach end of Runway 9 and announced it on the radio. Not knowing exactly the Bonanzas full intention I began a turn to downwind as the Bonanza climbed. At this point about 400 FT below us and slightly to the right; we received a single 'monitor vertical speed' oral warning. We maintained altitude until the RA went away and the aircraft was behind us; and then descended in the pattern for landing.