Your hard disk is in Microsoft's NT File System (NTFS) format , which Mac OS X cannot write to (it can still read from them). You should use the Mac's Disk Utility to reformat the disk to MS-DOS format (a.k.a. FAT32) if you are sharing this disk between Mac and Windows PCs. Otherwise, select Mac OS Extended. Of course, formatting means that you'll lose anything that is on the disk now.
Writing files on NTFS volumes involves updating some records on the disk, but Microsoft has not divulged how this is to be done, so NT-based Windows are the only operating systems capable of writing to NTFS volumes. Additionally, Windows XP will not allow you to format disks larger than 32 GB in FAT32 format, hence the need to do it using Disk Utility on the Mac.