I've successfully replaced my back shifting cable, but I am having trouble getting the screw that secures the cable to the back end of the bike back in its place.
I took a picture before I removed the screw, which is blue in color (see pic). As you can see, to put the screw there, you would have to somehow reach behind with the screw and fit it in the hole, which is proving to be next to impossible because its really narrow there.
you do not need to completely remove the nut to fit a new cable, this prevents this happening.
Now put the nut back on a couple of turns to stop the screw dropping out and "fiddle" around at the back with the flat of the blade of small screwdriver, you should be able to push the head of the screw into position and hold it there to refit the nut and tabbed washer properly.
The head of the screw is shaped to fit against a stop at the back and does not need a screwdriver to hold whilst tightening.
You can also find setting up info here; http://techdocs.shimano.com/techdocs/index.jsp