Cannot Delete File in Use

I have the same problem. I'm at my school at the moment and I'm stealing pictures and putting them onto my Jump Drive. However there is one large 26mb psd file and apparently it's in use. However no windows are up besides the F drive (Jump Drive) which I have closed out of and re-opened many times. Normally this wouldn't be a problem for me but the School restrictions are so heavy duty. I can't use task manager, I can't format my drive, I can't run Dos, I can't even restart because I don't have the account info to the Yearbook account. I have to ask the teacher to sign me in, and only once at the begining of class. I'm just stuck. :cry. I didn't really post this to ask for help because by the time someone reads this i'll be home and I can fix it there but I just wanted to share my distress.