[PROBLEM]
I've received a strange office-file by mail which had an object embedded. That object was a file with the suffix ".shs" (invisible suffix, see "scrap files can tear you up") and when I simply dragged that object onto the Desktop, it was stored as "Scrap.SHS".
Now I wanted to execute that file, but nothing happened (I hate it when that happens, but in that case I KNEW that this thing was harmless).
BUT: When I tried to rename/delete that file, I got an errormessage saying that some other process was still accessing it. strange.
[SOLUTION]
In the taskmanager I saw that "rundll32" was running - I killed it and voila: the lock was gone.