Is your site hosted on an IIS server? I had the same problem, because IIS doesn’t use the $_SERVER[‘DOCUMENT_ROOT’] or $_SERVER[‘REQUEST_URI’] variables that are used for Shortstat. You can read some comments that refer to this at the bottom of this page, along with solutions for it.
This fixed the _trackme.php for me, and everything started working, but the trouble is that when I then put the code into my WP site for some reason it doesn’t log any results at all – even though the _trackme.php does work. Still trying to find the cause of this.
Do check out the threads above, but I just started using ShortStat and my trackme.php only said “Testing” as well. I inserted the code (in my case due to my themes’ configurations on the index page) and it works great foo both my sites, regardless of the trackme screen.