Greetings.
There are a couple of ways to approach this. The first is to modify a line in the FS9.cg file, in the [weather] section:
MAX_UNLIMITED_VIS=96560
which represents the minimum 60 mile distance in the sim menu - you can set this lower in the cfg file than you can in the sim itself. This does lower the visibility distance, but does give (to me and my graphics card) a very artificial (and unacceptably clear) line at the horizon.
A much better solution for me has been the use of Soft Horizons (over at avsim) which does a very good job of blurring the horizon with a very believable distance haze. So much so that I've left the default line (above) as it is.
Hope this helps.
