>>Run filemon from http://www.sysinternals.com/Utilities/Filemon.html and see what still has it's hooks into it.
>>Also check if caching has been turned back on, the system may not have written the cache back to disk yet.
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>Well, it seems to be related to IIS, after I shut it down from Services, I was able to have access to the file. I don't know why it is acting like that now. But, this was reproduceable. I did that again in the same simulation after a reboot. This is new since recently.
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>Where would I go to check for the cache?

There are some registry settings that might have been adjusted that could affect files being left open. The one that jumps to mind is CachedOpenLimit. The default on some server operating systems is to leave the last 5 files open on the server when a user logs out (to speed up access when they come back later, I suppose). Do a web search on that entry for more details. And note that if you don't find it in the registry currently the server might be one of those that does the default of leaving some open (I always add it if it isn't already in the registry just in case and set it to 0).

The 'cache' registry entries have a few variations depending on whether you are applying it to the server or a workstation and which Windows version it is. Search the web for "Opportunistic Locking", "EnableOpLocks", "EnableOpLockForceClose", "OpLocksDisabled", and "UseOpportunisticLocking". You will find a lot of feedback on why and when you might want to turn it off (high concurrency systems) and how to do it (a few registry entries).

Hope it turns out to be that simple!