Can't Delete Directory (Folder)

Sometimes when I try to delete a folder, it tells me I can't because it's being used by another program.  But it's NOT being used by any other program I have running.  What gives?

What's so fun about Linux users is their lack of knowledge of Win32 and Windows 2000.

You know, I love flaming linux users, but that has to be the stupidest thing I've read today.