That's most likely because the drive is formatted in NTFS (Microsoft's proprietary file system), which Mac OS by default can only read, not write.
There are several ways to enable NTFS write support for Mac OS X, but I wouldn't rely on that.
The easiest and safest way to use an external drive with both Windows and Mac OS is to format the drive to exFAT (another Microsoft file system), which can be read and written to by Mac OS from version 10.6.5 onward.
Linux won't be able to read it though.
Edit: Windows 7 and Vista SP1 support exFAT, but Windows XP needs an update first:http://support.microsoft.com/kb/955704