I disagree with @Senff regarding the use of images for this. What if you wanted to change the color/height/shadow? With CSS that is very easy to do; just change a few values. So in other words, there is a tangible benefit from using CSS instead of images. That isn’t always the case (experimental CSS3 features), but it certainly is in this instance.
On another note, the markup you have got from that generator is absolute rubbish. Have a look at this technique (but use the triangle border technique): http://csswizardry.com/2011/02/css-powered-ribbons-the-clean-way/
P.S. I agree with @TheDoc, it looks better without the shadow.