I suspect it is the routine inside easy-fancybox.css.php that transforms the relative paths to the files needed by IE (AlphaImageLoader) into full URLs. It normally should detect the correct protocol (http or https) and prepend it to these paths in the stylsheet but apparently on Windows/IIS it does not do that correctly.
It's a bug that you have caught :) (or at least a design flaw, not taking Windows into account) so I'll have to fix that. For the time being, you could do this:
1. Open the plugin file easy-fancybox.css.php for editing (either withing the WP plugin editor or edit a local copy in a simple text editor)
2. Find line 23 that looks like this
$url = ( ( isset($_SERVER['HTTPS']) ) ? "https://" : "http://" ) . htmlspecialchars( $_SERVER['HTTP_HOST'] . dirname($_SERVER['SCRIPT_NAME']), ENT_QUOTES);
3. Change the part
( ( isset($_SERVER['HTTPS']) ) ? "https://" : "http://" ) into
This should fix the https issue but I wonder how these other server parameters like $_SERVER['HTTP_HOST'] and $_SERVER['SCRIPT_NAME'] are behaving on IIS. Could you tell me if the URLs (after applying the above steps) in the stylesheet are the correct full paths to the IE shadow images?