I understand, that IE doesn't yet support round corners, but the background color of fieldset is out of bound to.
Here how it looks like in FF 3.6: screenshot1
And here how it looks in IE8: screenshot2
There's a lot more than just rounded corners which IE doesn't support yet ;)
AFAIK you can set a background color on a fieldset in IE, but there are several bugs/issues which you may have to work-around, see these links for info:
"PIE makes Internet Explorer 6-8 capable of rendering several of the most useful CSS3 decoration features."
so you CAN use rounded borders on IE =]