TFS 2010 Build Creates dll.LOCKED file in the Binaries directory

Other projects need the DLL to compile.

Anyone have an idea?

In visual studio, go to Team->Team Project Collection Settings->Source Control File Types. Find the entry for Executable Files, and set File Merging to Enabled.

Once you do that, devs can check out shared.

That being said, You should seriously consider an SCM approach that does not require you to store your DLLs in your SCM system. However, I understand that this may not always be possible.