In modern versions of Windows, the read-only bit on folders designates them as "special folders." This includes folders such as Program Files, My Documents, My Pictures, etc. Note that Windows Explorer itself does *not* respect the read-only bit (i.e. it allows people to arbitrarily modify these folders), and all of this was apparently done "by design" (although this is quite possibly the most idiotic design I have heard in a while). More info on that here:
http://support.microsoft.com/kb/326549
Anyway, Leopard respects the read-only bit, and as a result, you see the lock in Finder. The way to get around this is by removing the read-only bit. As Windows Explorer itself will not allow you to do this, you must do it in the (Windows) command line using attrib. For example:
attrib -r +s "C:\Documents and Settings\username\My Documents"
Although Windows Explorer will not confirm that the read-only bit has been disabled, typing in attrib without the -r +s will confirm this. Note that I am adding a +s to turn on the system flag, which is the suggested workaround by Microsoft (in the link above).
You should be able to write in those folders after this.