First, are you doing this via the terminal or some sort of remote console (such as telnet or ssh)? Or are you using an FTP client to chmod the files?
Second, which user account are you using to chmod the files? Do you (that account) own the files?
You cannot chmod files through FTP on the SME server, nor can you use any account besides root or admin to chmod the files through telnet/ssh/console.
However, as standard practice for my CGI development, I keep PuTTY and WS_FTP open at all times, to upload the files, and chmod them accordingly.
HTH