AFTER A TAKING OFF AT 2029 CST, THE PLT CLIMBED TO 7000 FT & FLEW ON A SOUTHERLY HEADING TOWARD THE OSHKOSH VOR. AT 2030, THE PLT INDICATED THAT HE HAD A RADIO PROBLEM, BUT HE REMAINED IN RADIO CONTACT WITH ATC UNTIL A FREQ CHANGE AT 2039, THEN NO FURTHER RADIO TRANSMISSIONS WERE RECEIEVED BY ATC. AT APRX 2040, THE ACFT TURNED OFF COURSE (EAST NORTHEAST) TOWARD GREEN BAY, WI. ABOUT 8 MIN LATER IT TURNED SOUTH, THEN BEGAN WIDE SHALLOW LEFT TURNS. THE ACFT CONTINUED MAKING LEFT TURNS WHILE MOVING SLOWLY EAST, OUT OVER LAKE MICHIGAN. AT 2130, THE AIRCREW OF AN AIR WISCONSIN ACFT MADE VISUAL CONTACT WITH N9232M. AT 2138, THEY REPORTED THAT N9232M HAD BEGUN A RAPID RATE OF DESCENT, & 6 MIN LATER, THEY STATED N9232M DISAPPEARED INTO THE WATER, NO WRECKAGE WAS FOUND BUT PERSONNEL ON A COAST GUARD VESSEL SMELLED A STRONG ODOR OF FUEL AT THE SUSPECTED CRASH SITE.