When captivate opens a file it creates a 'lock' file that keeps another application from trying to open the same file.
Sometimes this file does not get removed when the cptx file is closed (or if Cp closes abnormally). You can remove it manually by navigating to (on winXP) C:Documents and SettingsuserMy DocumentsMy Adobe Captivate Projects
You'll need to display the hidden files Tools > Folder Options > View > Hidden files and folders > Show hidden files and folders
After ensuring the project file isn't open anywhere, look for a ~cp_prj_nameOfProject.cptx_lock file and delete it.
This is also a good point to turn on project backups in Cp, if you haven't already. Edit > Preferences > General Settings > Generate Project Backup
Hopefully that fixes it for you.