The new Mail.app in Panther (also in 10.3.1) makes attachments "Read Only" when dragging from Mail onto the desktop. If you use the "Save All" button in the header instead, the privileges are set correctly.
Also when composing new mail, don't drag attachments into the mail message if you plan to send the mail to a Windows users. If you use the Attach button, you'll see a new "Send Windows Friendly Attachments" checkbox at the bottom of the dialog box.
Mac OS X Hints
http://hints.macworld.com/article.php?story=2003111108124728