To rotate by 45 degrees in IE, you need the following code in your stylesheet:
filter: progid:DXImageTransform.Microsoft.Matrix(sizingMethod='auto expand', M11=0.7071067811865476, M12=-0.7071067811865475, M21=0.7071067811865475, M22=0.7071067811865476); /* IE6,IE7 */
-ms-filter: "progid:DXImageTransform.Microsoft.Matrix(SizingMethod='auto expand', M11=0.7071067811865476, M12=-0.7071067811865475, M21=0.7071067811865475, M22=0.7071067811865476)"; /* IE8 */
You’ll note from the above that IE8 has different syntax to IE6/7. You need to supply both lines of code if you want to support all versions of IE.
The horrible numbers there are in Radians; you’ll need to work out the figures for yourself if you want to use an angle other than 45 degrees (there are tutorials on the internet if you look for them).
Also note that the IE6/7 syntax causes problems for other browsers due to the unescaped colon symbol in the filter string, meaning that it is invalid CSS. In my tests, this causes Firefox to ignore all CSS code after the filter. This is something you need to be aware of as it can cause hours of confusion if you get caught out by it. I solved this by having the IE-specific stuff in a separate stylesheet which other browsers didn’t load.
All other current browsers (including IE9 and IE10 — yay!) support the CSS3 transform style (albeit often with vendor prefixes), so you can use the following code to achieve the same effect in all other browsers:
-moz-transform: rotate(45deg); /* FF3.5/3.6 */
-o-transform: rotate(45deg); /* Opera 10.5 */
-webkit-transform: rotate(45deg); /* Saf3.1+ */
transform: rotate(45deg); /* Newer browsers (incl IE9) */
Hope that helps.
Edit
Since this answer is still getting up-votes, I feel I should update it with information about a JavaScript library called CSS Sandpaper that allows you to use (near) standard CSS code for rotations even in older IE versions.
Once you’ve added CSS Sandpaper to your site, you should then be able to write the following CSS code for IE6–8:
-sand-transform: rotate(40deg);
Much easier than the traditional filter style you’d normally need to use in IE.
Edit
Also note an additional quirk specifically with IE9 (and only IE9), which supports both the standard transform and the old style IE -ms-filter. If you have both of them specified, this can result in IE9 getting completely confused and rendering just a solid black box where the element would have been. The best solution to this is to avoid the filter style by using the Sandpaper polyfill mentioned above.