BEFORE YOU POST - COMMON ISSUES
Over the past several months I've noticed that many of the troubleshooting questions posted in this forum end up being solved by the same few answers, which are described in detail on the Known Issues
documentation page. Please, to save time, read over the items on that page before posting here to make sure you're not running into one of the common issues.
In particular, if you are noticing "nothing happening" or "backgrounds/borders/shadows disappearing" when applying the PIE.htc behavior, your issue is most likely covered by either a z-index problem (position:relative is your friend), a relative path issue (relative to the HTML file, not the CSS file), or a content-type issue. Be sure you've verified you're not running into one of these before posting.
I will be working to make these issues more obvious in the documentation as well.
Thanks and happy CSS3 coding!