Hey, I just experienced the same problem, and thought I could shed a little light on it. The Fox-It reader application adds itself as a preview application. Windows Explorer uses these preview applications to display a preview in, of course, the Preview Pane. For some reason Fox-It doesn't properly release PDF's when previewed in this manner.
The above user's problem went away because he uninstalled Fox-It, and then killed and restarted Windows Explorer (the Explorer.exe process he mentioned). A reboot would have done the same thing, after uninstalling Fox It.
Hope that helps someone out there... Cheers.
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