You could try holding the iron close to the dented area, and pressing the 'shot of steam' button, to try to soften it up, but then you will have to find a way to wedge something inside to hold it out while it dries. A rolled up towel will probably work.
You didn't say what the lampshade is made of. If you aren't able to remove the dents, you might consider re-covering the lampshade. If you decide to go that route, here are some instructions: http://www.ehow.com/how_2086753_recover-lampshade.html
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