Hmmm, I don't use a graphical file manager so I don't know if I'll be able to help but I would bet it has something to do with file permissions and ownership. The default graphical file manager in Red Hat 9 is Nautilus under Gnome, are you running something different? If you are running Nautilus just press F1 and it has lots of good help in there about how to copy files, what the read only emblems look like, etc.
Might I also suggest that you look over this:
http://www.redhat.com/docs/manuals/linu ... ted-guide/
More specifically sections 13.14, heck 13.*, and 14.*.