Make sure that the file is not been accessed by a process or a program which is effectively locking the file. Also right click on the file and check the permissions on the Security Tab. Make sure that the permissions are set to full permissions so that you can access and modify the file.
You're absolutely correct. These are the first steps someone should take to try and move a "locked" file. However, I've frequently found when I've tried all this and I'm using Admin rights on my system - Windows just won't give up the file. That's when I resort to my system run-around.