This happens when all the files are shown using the icon (or similar).
These types of file system can force all files to be marked as executable, which overrides the type system. Either re-configure the file system (if you know how!) or use the option Types=>Ignore eXecutable bit for known extensions.
This option was removed in ROX-Filer 2.3, which should be better at getting the type right without messing around.
If the file has been copied from a CD or Windows disc it will still be executable. Use either the Permissions, Info or Properties menu items to remove the executable permissions.