A coworker found this and I guess I have to give him credit since I dont know who else to give credit to.
In VSS 2005, Microsoft decided we should no longer be allowed to have a different version of a file on our machine than is in sourcesafe without checking out the file. I understand their reasoning in this, but it is really impossible to make such a blanket move. What if you have a custom web.config on your machine for some additional tracing/debugging that you specifically are working on etc?
Anyhow, here is a copy and paste from the readme for the file, basically it includes a hacked version of the ssgui.dll that re-enables this functionality.
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Background
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Microsoft has removed the ability to leave a local writable file when you are doing a Get Latest in VSS 2005. Presumably this is to keep you from inadvertently screwing things up, even though people have been doing this for the last 10 years with VSS and are aware of the consequences.
Anyway, this Google thread describes Microsoft's reasoning behind the change and a (presumably unsupported) for bringing the option back.
http://groups.google.com/group/microsoft.public.vstudio.sourcesafe/browse_thread/thread/3dd74f26ae23a249/da82c006193f8f1d?lnk=st&q=sourcesafe+get+leave&rnum=1&hl=en#da82c006193f8f1d
The hack involves using Binary Editor to change the ssgui.dll so that the option is available again. I have already done this and the hacked ssgui.dll is in the same VSS project folder as this readme.
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WARNING!!!
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This is a true hack that involved cracking open the binary and editing the bits by hand. Any service pack updates to VSS could overwrite this hacked DLL or cause VSS not to work, so make sure you keep a backup copy of the original ssgui.dll just in case.
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Installation Instructions
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1. Shut down VSS 2005
2. Make a backup copy of the ssgui.dll file in your VSS installation directory
3. Replace the ssgui.dll file with the version in this VSS2005Hack folder
When you restart VSS 2005, you should see the "Leave" option available.
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Another interesting tid bit my coworker was able to figure out before me, if you notice in the new sourcesafe, besides the pretty new colors, when you click on the Add Files folder thingie, you know longer just get a list of the files that are not already in Source Safe. NO...THAT WOULD BE TOO EASY AND USER FRIENDLY. Fear not, fellow Source Safe User. If you hold shift and click add files, you will get the previous behavior.
You can download the readme and the hacked dll here.