Hope you guys don't mind me getting into this conversation.
This problem occurs if the MS Office Communicator is running and you try to shutdown or close Windows. Communicator opens a MAPI session that is kept open while you try to shutdown the windows. Have a look at an article that describes MS Office Communicator issues that are fixed by hotfix package.
http://support.microsoft.com/kb/921348
BTW, Is it happening with all the files or just one file?