Well you may want to do what Thoas suggests, otherwise;
Open a CLI or SHELL, go to the dir where you put the files (copied from the CD) and type "protect [filename] +e"
This from memorie, so I might be a bit off..
Or depending on the OS version, select the file in the workbench, press A+i and select the flags you want to set, and then save.. AFAIK OS3.X creates a .info file then for it.. Nut sure if that's 3.5 or lower tho..