SQL Server Express on Windows 8 isn't locking MDF database files
SQL Express creates database with AUTO_CLOSE ON by default. Auto close databases automatically close themself (and thus release the file handles) whenever there are no sessions using the database. This works 'as advertised', you just have to read the small print:


  True for all databases when using SQL Server 2000 Desktop Engine or
  SQL Server Express, and False for all other editions, regardless of
  operating system.


If you don't like the default behavior, simply turn auto-close off on the databases:

ALTER DATABASE [&lt;dbname&gt;] SET AUTO_CLOSE OFF;