I'm sure there's some room for improvement here;
Code:
=REPT("M",LEFT(RIGHT("000" & A1,4))) &
CHOOSE(LEFT(RIGHT("000" & A1,3))+1,"","C","CC","CCC","CD","D","DC","DCC","DCCC","CM") &
CHOOSE(LEFT(RIGHT("000" & A1,2))+1,"","X","XX","XXX","XL","L","LX","LXX","LXXX","XC") &
CHOOSE(LEFT(RIGHT("000" & A1,1))+1,"","I","II","III","IV","V","VI","VII","VIII","IX")