Vodafone stores and other mobile phone retailers are not usually able to supply batteries unless they take them from another phone they have in stock.
Independent pone retailers do often stock them but not originals and often they are fake batteries. Perhaps you have been unfortunatew to get one of them.
I've always found the best place to buy replaement batteries is Ebay - a quick search shows me there are lots of people selling genuine Blackberry batteries for around £10. Make sure you buy from someone with lots of positive comments.
I won't ask how you managed to lose a battery 
The red cross usually indicates that the battery is completely dead - strange if it was OK before you took it out of the phone. Usually a full night's charge will help - and putting the battery into the phone while it's plugged into the charger can sometimes reset the system.
Is it a genuine battery?
I seem to remember that non-genuine batteries need to be 'coded' (most are supplied with a device that reads the old battery & writes to a chip in the new one).
I doubt that your insurance will cover you for losing the battery - rightly or wrongly they would probably say that it should be in the phone where it belongs.
As Jeff mentions, eBay is good for batteries - there are many non-genuine ones available with increased capacities (solving a 9900 deficiency). Alternatively, Amazon & Amazon Marketplace has a good supply of both genuine & non-genuine. For the 9900 you are looking for a JM1 or JM-1 (BB part no. ACC-40871-201).
I remember buying a high capacity battery for my Blackberry Storm a few years ago and stupidly didn't realise it was also physically larger and came with a replacement back that stuck out quite a long way and ruined the whole look and feel of the phone.
To the other extreme the iPhone has a sealed battery unit and I'm not keen on that idea either.
