In TFS if you check out a file it DOESNT check for a newer version of the file in source safe (as it did in Visual Source Safe (VSS)) it was a decision taken by MS to remove this feature to ensure that auto "getting latest" will not brake to the local build. I think MS have received so many complaints about this that in TFS 2008 they are putting it back in.
In the mean time I found this project on codeplex http://www.codeplex.com/TfsAddInCheckOut
Quick install, give it the TFS server name then when you try to checkout a file you get a message box telling you there is a newer version on the server and asks whether you want to download it.
Job Done!
There is another one I found from the SLR Team blog on MSDN here, but I haven't used it so I cant comment!