Solution 1:

Yes, but not how you would imagine. According to caniuse (a very good resource) there is no support and no polyfill available for adding text-shadow support to IE9. However, IE has their own proprietary text shadow (detailed here).

Example implementation, taken from their website (works in IE5.5 through IE9):

p.shadow { 
    filter: progid:DXImageTransform.Microsoft.Shadow(color=#0000FF,direction=45);
}

For cross-browser compatibility and future-proofing of code, remember to also use the CSS3 standard text-shadow property (detailed here). This is especially important considering that IE10 has officially announced their intent to drop support for legacy dx filters. Going forward, IE10+ will only support the CSS3 standard text-shadow.

Solution 2:

As IE9 does not support CSS3 text-shadow, I would just use the filter property for IE instead. Live example: http://jsfiddle.net/dmM2S/

text-shadow:1px 1px 1px red; /* CSS3 */

can be replaced with

filter: Shadow(Color=red, Direction=130, Strength=1); /* IE Proprietary Filter*/

You can get the results to be very similar.

Solution 3:

Try CSS Generator.

You can choose values and see the results online. Then you get the code in the clipboard.
This is one example of generated code:

text-shadow: 1px 1px 2px #a8aaad;
filter: dropshadow(color=#a8aaad, offx=1, offy=1);

Solution 4:

I was looking for a cross-browser text-stroke solution that works when overlaid on background images. think I have a solution for this that doesn't involve extra mark-up, js and works in IE7-9 (I haven't tested 6), and doesn't cause aliasing problems.

This is a combination of using CSS3 text-shadow, which has good support except IE (http://caniuse.com/#search=text-shadow), then using a combination of filters for IE. CSS3 text-stroke support is poor at the moment.

IE Filters

The glow filter (http://www.impressivewebs.com/css3-text-shadow-ie/) looks terrible, so I didn't use that.

David Hewitt's answer involved adding dropshadow filters in a combination of directions. ClearType is then removed unfortunately so we end up with badly aliased text.

I then combined some of the elements suggested on useragentman with the dropshadow filters.

Putting it together

This example would be black text with a white stroke. I'm using conditional html classes by the way to target IE (http://paulirish.com/2008/conditional-stylesheets-vs-css-hacks-answer-neither/).

#myelement {
    color: #000000;
    text-shadow:
    -1px -1px 0 #ffffff,  
    1px -1px 0 #ffffff,
    -1px 1px 0 #ffffff,
    1px 1px 0 #ffffff;
}

html.ie7 #myelement,
html.ie8 #myelement,
html.ie9 #myelement {
    background-color: white;
    filter: progid:DXImageTransform.Microsoft.Chroma(color='white') progid:DXImageTransform.Microsoft.Alpha(opacity=100) progid:DXImageTransform.Microsoft.dropshadow(color=#ffffff,offX=1,offY=1) progid:DXImageTransform.Microsoft.dropshadow(color=#ffffff,offX=-1,offY=1) progid:DXImageTransform.Microsoft.dropshadow(color=#ffffff,offX=1,offY=-1) progid:DXImageTransform.Microsoft.dropshadow(color=#ffffff,offX=-1,offY=-1);
    zoom: 1;
}