You must be viewing the page under IE7 mode. Open the developer tools in IE9 (press F12) on the menu bar you have “Browser mode” and “Document mode”. The images display fine in IE9, they do not display in IE7 or quirks mode.
Doesn’t work so well in Chrome. As ronpat said, rather than have 20px left margin, you should be using left padding of at least 30 px to fit the background image inside the LIs but without it underlapping the text.