This a very simple, straightforward tutorial for creating a transparent, rounded corner link in IE8 and lower with CSS3 PIE. The blog post for this tutorial can be found at http://kaidez.com/css3-pie-link-tutorial/.
-UPDATE: 3/21/11: there are five files in the "PIEFiles" folder: you only need to use one of the .htc files to get this tutorial to work. The uncompressed has a bigger file size. (thanks Jason!)