There are plenty of counters to Shieam Pyre Zombies .... however none of them are pleasant and they all take more time to set up than the Computer can set-up Pyre Zombies.
1) if your orcs, warrens are your friend. Simply throw conventional troops at them (partially en masse). If you have an indefinitely sized pyre zombie stack, throw another idefinitely sized stack at it about 5 iron axemen at a time ..... wait I meant 5 units at a time. While technically its probably best to attack only one unit at a time. This means either have mobility, roads, body mana, or preferably all three. This way your troops can be safely away from the pyre zombies while poor mooks are thrown at them one (or 5) at a time. I've found 5 at a time is the most efficient when you have a turn timer, such as a multiplayer game. This at least at stacks of around 15-25 units per. With smaller stacks, probably attack less at a time (2 or 3).
Point is, sheer numbers will work if your able to keep the rest of your army at a distance, so that the effect of the zombies is only applied to each unit after the moment of their attack. This in essence attacks your army with only one "blast" of Pyre Zombie death if you attacked one each. Well, thats only if your also able to retreat after battle as well. If not then after the first battle your cooked, however you achieved your desire to destroy the zombies. Its truly attrition warfare at its worst.
Another way to kill the Pyre Zombies is with massive amounts of first strikes. If a pyre zombie is killed by first strikes, its fire blast will not trigger IIRC.
Also, enough blasts of Destroy Undead will completely destroy an indefinite number of pyre zombies (or any other undead unit). This *enough blasts* is anywhere from 3-5 mages depending on how strong they are. However, a Gibbon Goetia (or other arcane Hero) with mobility 1, Life 2, and plenty of combat promos is an excellent way to fight against them.
Therefore, I ask you to (if Shieam are nearby and will be a HUGE problem) beeline Deception and Divination(if u don't start with Life mana), build archers and horse archers, and do all first strikes, and attack from a distance and only one at a time (or very small groups).
The use of Catapults and/OR high withdrawal cavalry units also works as an excellent pre-battle prep tool. The most efficient use of this is an average sized stack of Cavalry with at least Flanking 2 each. Then have enough movement to race away after doing the prep work. Then try to kill the zombies with the weakest units as possible, or any HorseArchers/Archers with enough drill promos (at least 2). Also ... be sure to use any Destroy Undead spells as possible after your Withdrawal prep work (not before because its less efficient at least en masse).
So if you combine Life 2, withdrawal, first strikes, and attacking one at a time from a distance, with (hopefully) enough movement to run away before the next mook attacks, you should be set to deal with Pyre Zombies. Still mind you, against the AI Life2 is the most effective way of disposing of Pyre Zombies, so if the Pyre Zombies are your primary concern for game X in question, and its still fairly early in the game, beeline Deception and get Life 2 from Gibbon Goetia.