I use Sourcesafe and when a file is checked in it is flagged as Read Only in the file-system.

It would be great is this flag was visible in the explorer next to the file preferably with a red dot before the file or something.

Open Project Properties and set Source Control -> CVS.
It will show "locks" for readonly files then.
(and, of course, you're not supposed to run CVS commands in the popups because you're using VSS, although you can run VSS's cli utilities like CVS, see Intergration part in the settings)

After you check in a file, it does will be flagged as Read Only in the file-system.