Locking Executing Files: Windows does, Linux doesn't. Why?
I noticed when a file is executed on Windows (.exe or .dll), it is locked and cannot be deleted, moved or modified.

Linux has a reference-count mechanism, so you can delete the file while it is executing, and it will continue to exist as long as some process (Which previously opened it) has an open handle for it. The directory entry for the file is removed when you delete it, so it cannot be opened any more, but processes already using this file can still use it. Once all processes using this file terminate, the file is deleted automatically.
Windows does not have this capability, so it is forced to lock the file until all processes executing from it have finished.
I believe that the Linux behavior is preferable. There are probably some deep architectural reasons, but the prime (and simple) reason I find most compelling is that in Windows, you sometimes cannot delete a file, you have no idea why, and all you know is that some process is keeping it in use. In Linux it never happens.
