Do you get the same behavior in a different file location? I assume by 'the file' you meant the Mango directory. This still surprises me, as a Windows user (having USER privileges) cannot delete a directory whose contents are open in another application. Going through Windows Explorer this gives a dialogue that files are open. Running "del /s /q C:\Mango" in an elevated command prompt appears to work, but that's somewhat willful, and files and directories open at the time of the delete attempt are still spared.
This is definitely not a Mango issue.