As others have stated, Rockwell is not a websafe font. I, for example, am typing this on a perfectly ordinary Windows box and don't have it. It is installed with certain versions of Office.
The current accepted answer recommends using a proper CSS font stack to feed Rockwell to visitors that have it, and more-common-but-less-suitable fonts to those without. That's excellent advice, so do so.
However, you can actually do one better. All of the modern non-IE browsers either support CSS Webfonts now or will in their next release. This module lets you host fonts on your server and transparently feed it to visitors when they visit, allowing you to use a vast array of fonts that aren't dependably available. Go ahead and add Webfont support now for Rockwell, giving it as the second choice in the font stack (behind ordinary Rockwell). This will allow visitors who are using advanced browsers but don't have Rockwell installed to still get the full effect of your typography, while allowing visitors with lesser browsers to still gracefully degrade to another font.
Finally, if you really need to hit IE with the font, go with image replacement. SIFR is always an option, but it can really slow down a page, especially if you use a lot of it. I'm the developer of PIR, which is an unobtrusive and super-lightweight javascript-based image replacer that uses a PHP backend to generate the images. It grabs all relevant information from the CSS directly, and can even handle word-wrapping automatically. There is also a FastCGI backend in development by one of my users. PIR generates 32-bit PNGs, so it can deliver full transparency (it'll even make the font itself transparent if the visitor is using a browser that knows how to handle transparent colors).