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This issue occurs because a file lock is placed on temporary
Internet files by third-party programs, such as antivirus software, when
Internet Explorer tries to perform the temporary file deletion routine. This
issue may occur if you try to manually delete the temporary Internet files or
when you close Internet Explorer.
This issue may also occur if a central repository is used for temporary Internet
files such as a network share, to store temporary Internet files for more than
one user in the same folder. Microsoft does not support a configuration. The
temporary Internet file location must be set on a "per user" basis, that is one
folder per user. This is default behavior for Internet Explorer.
http://support.microsoft.com/?kbid=814782