This thread is quite old, but lets see if it can be resurrected...
I don't believe servers glitch about files that are requested, and I have a similar problem.
These fancy_shadow_*.png files are referenced a stylesheet: jquery.fancybox-1.3.4.css
They're in a class called fancybox-ie, and an id called #fancybox-bg-*
Here's the line:
.fancybox-ie #fancybox-bg-s { filter: progid:DXImageTransform.Microsoft.AlphaImageLoader(src='fancy_shadow_s.png', sizingMethod='scale'); }
And the stylesheet seems to be called by a JavaScript file called jquery.fancybox-1.3.4.pack.js
which seems to be a standard include in pages or templates using fancybox.
So we now gather that this is IE-specific, and we can replicate it by calling pages referencing jquery.fancybox-1.3.4.pack.js with an IE browser. (Sadly, this is the part where it goes wrong for me... I can't replicate it in any browser; but it is apparently being triggered in IE8 at least... so my web server logs say.
My solution would to just remove all the 404 images from the CSS file. They're not being rendered at the moment, clearly; and I don't miss them.