Most likely this is a file shared on the network and someone is running it. Depending on the file server you use, you should be able to display all files currently open from the server console and determine who has them open or who the server thinks has them open. Even if all users are off the server sometimes old links remain, especially if their computer crashed, power glitch or they turned off the computer without shutting down.
Often, when you change the code in the .PRG you can save it just fine since users only access the program file's pre-compiled .FXP file. Find the user(s), have them exit, and you should compile it just fine.
If you create .EXE files for the users to run, then you should have no trouble compiling. Of course then when you want to replace the .EXE application with a newer version you will hit that file-in-use issue at that point.