IE seems to be tricky with rounded corners a lot of times. All in all, you will find it isn't supported very well, and there are still plenty of users going back to IE5.5 or so. I would recommend a different approach.
While I don't remember exactly where I learned it, I can give you the code I have on my website.
HTML Code that goes before your element:
<b class="b1"></b><b class="b2"></b><b class="b3"></b><b class="b4"></b>
HTML Code that comes after your element
<b class="b4"></b><b class="b3"></b><b class="b2"></b><b class="b1"></b>
CSS Code:
.b1, .b2, .b3, .b4{font-size:1px; overflow:hidden; display:block;}
.b1 {height:1px; background: #000; margin:0 4px;}
.b2 {height:1px; background: #fff; border-right:2px solid #000; border-left:2px solid #000; margin:0 2px;}
.b3 {height:1px; background: #fff; border-right:1px solid #000; border-left:1px solid #000; margin:0 1px;}
.b4 {height:2px; background: #fff; border-right:1px solid #000; border-left:1px solid #000; margin:0 0px;}
The above CSS code, the #000 is going to be your border color. The #FFF is going to be
the color of your content box.
You will want to have no top and no bottom border on your content block, but then set the left and right border to be 1px and then the color you want the border to be.
Depending on your current implementation this may seem somewhat not as nice looking, and feel free to add more b tags applying the same logic to get a bigger radius. If you would like a larger radius and can't figure it out, just let me know and I'll extend this to be larger.
One final note, depending on where you are placing these you may have to tweek the margin settings a bit.