IE requires that the PIE.htc behavior file must be in the same domain as the HTML page which uses it. If you try to load the behavior from a different domain, you will get an "Access Denied" error.
Note that the domain must be exactly the same; that means that http://www.foo.com
is a different domain than http://foo.com
If this limitation is a dealbreaker for you, you may be able to use the alternate PIE.js approach to get around it.