We describe a low-temperature sample probe for the electrical detection of magnetic resonance in a resonant W-band (94 GHz) microwave cavity. The advantages of this approach are demonstrated by experiments on silicon field-effect transistors. A comparison with conventional low-frequency measurements at X-band (9.7 GHz) on the same devices reveals an up to 100-fold enhancement of the signal intensity. In addition, resonance lines that are unresolved at X-band are clearly separated in the W-band measurements. Electrically detected magnetic resonance at high magnetic fields and high microwave frequencies is therefore a very sensitive technique for studying electron spins with an enhanced spectral resolution and sensitivity.