I had not heard of it but looking at the documentation for CSS PIE, I would think you could put the pie.htc file directly in your skin folder and reference it in css like this:
Not sure if the file is really upper case but in their example it is. I would make the case match the file just to be on the safe side and I'd probably name it lower case on disk and reference it lower case in CSS. Windows isn't case sensitive but I still try to keep things in correct case just out of habit because on linux file names and urls are case sensitive. The use of single quotes is needed to make it work with our CSS combiner.
The documentation says it would only be loaded by IE but I'm a little skeptical about whether an http request for it would be made by other browsers, though I have not tested it.
I'd be more inclined to put in the IE specific css files.
Let us know how it goes if you use it.