Attachment encoding
Entourage uses AppleDouble as its default encoding scheme for attachments. One file is the actual file, the other contains metadata about the file (such as what program should open it). Since Windows identifies files by the three letter extension (e.g., .doc) and doesn't re-marry the file to its metadata--it shows up as two files.
If you use want, can change your attachment encoding to MIME/Base 64 (in Mail & News Preferences) and see how it goes. It will probably go just fine. That second file doesn't hurt anything, but it convinces Windows users that this Mac OS is odd or "incompatible" with what they use.
Chris