Because there are many questions about this behavior, I want to blog about it.
You might have noticed, that if you simply click on a document, it will be opened in read-only mode. You have to use the dropdown and select “Edit in …” to open it with read-write access.
There is a Knowledgebase article available, which describes the problem and offers a solution: http://support.microsoft.com/kb/870853/en-us
To change the default behavior, you’ll have to change the registry on each client!