Might need a little more info. What are the names of the files that are locked? Does it happen only when you're using the program? Were they ever unlocked?
Sounds to me that they might be temp files associated with PrintMusic that you can see on the desktop (outside of the application's window). If this is the case, I'd think they'd disappear after you save and quit.
If they're not temp files that are locked (like some ReadMe's) and you want to delete them, get info and make sure "locked" is unchecked.