Well, FAT32 file system (if this is your MS partition) doesn't has permission at all... So it's just normal that Linux can't set permission on it (there are no "free space" in the 32 bytes of fat32 where to set permission information)
If your MS partition is NTFS then you can hope you will be able to set permission on it in few years... Bill Gates and all his minions work very hard to kill open source so don't even think they will give *nix users the specification of NTFS. Some guru try to discover all NTFS secret but it will take a lot of time (NTFS has 128 bytes instead of 32 !!!).