Can't delete files

Hi:

When I try to delete documents in a network share through terminal server I
receive an error telling me that the document can be opened and I can't
delete it (the file is not open cos' I create it and try to delete at the
same moment). The curious thing is that If I use Filemon (a program to see
how files are accesed) I see there's a sharing violation caused by Internet
explorer when I tried to delete the files. Can anyone help me??.

PD:I'm using Citrix and it occurs in the same way.