But none of the components functions is working anymore. There is this message: Direct Access to this location is not allowed. What could be the problem.
Not sure which version you are using on what but it means that Joomla is not loaded.
Is it possible to migrate the data from joomla 1.5 and Virtuemart 1.9 to Joomla 2.5 and VM 2.0?
As long as you keep in mind that CSVI is
not a migration tool you could export and import parts of VM but not completely.
You could copy the VM1.1.9 tables into the Joomla 2.5 database and after that install VirtueMart 2 on top of it, VM will migrate it's own tables.