@jason: Thanks for the link. That didn't seem to help my example. In fact it almost made it worse. When I would hover over the area needing the shadow, it would display the box, with shadow, in the upper left of the browser window.
I have the same issue. Is there some solution of this problem?
By the way, I express my deep gratitude for PIE!!! It's awesome settlement of CSS3 problem in IE, anyway!
UPD. It work perfect for the first time I hover, but on the second hover the shadow block moves to a top left browser corner.
The shadow filter applied to UL item (I don't know, is it necessary to note this).