You have probably gotten this dialog box at some point when you were trying to delete or move files. If an application locks a file when it opens it, the file cannot be deleted or moved. Unfortunately, Windows does not tell you which application has the file locked. Sometimes it is obvious why a file is locked, but often times it is not. One technique I've tried is to keep closing applications until the file can be deleted. This is a painful way to do it and it doesn't always work. I have found that the OS itself sometimes locks a file, thus the only way to unlock the file is to logout and then log back in.
I found a better way! This tool is the answer! It is called Unlocker. It adds an "Unlocker" option to the right click menu for a file. It will tell you what application is locking the file and let you unlock it. Works great and it is free!