That means that resource forks and information are being stripped from the file on the Windows side, most likely when it's emailed.

I'm not sure, off the top of my head, what a good workaround would be. You may have just encountered one of those situations where Macs and Windows PCs are simply "incompatible" with what you want to do.

Can you create a link to a file on a windows server where it opens directly into a Mac application such as word etc?
This, I do not know. The only thing I can think of would be true "web links" (like "http://www.someserver.com/somefile.doc") which would be handled gracefully by each respective operating system's browser... this would require setting up a web server in addition to the Windows shares. Ick.