I don't think your problem is simply locking the file. It is the way in which the locking is implemented.
If you don't implement Workgroup security, then you and all of your users by default come in as user "Admin" - for which one of the default permissions is "Open Exclusive" for the database. If the database is opened directly by clicking on the file icon, you might be running into this mechanism.
The correct way to do this is to create a new workgroup file and require your sharers to join it. Let them have accounts that have whatever permissions you want them to have - except "Open Exclusive." You retain that option for yourself. Perhaps what you need to do is define TWO accounts for yourself. One under your own name, and another under a name other than Admin.
Then, to FORCE the issue, you need to set up the security so that your Admin account is a member of the Users group - but NOT a member of the Admins group. (NOTE: I will NEVER forgive Bill Gates for allowing such abominations as having the name of the default administrator account differ by only one letter from the name of the administrator group. Watch out for that trailing "s" - which only applies to the GROUP, not the Admin USER.)
Now make sure that the USER group doesn't have "Open Exclusive" as one of its rights. When you want to do something exclusively to your database, log in under your Administrator name. When you want to just share, log in under your normal name. Make sure your users understand what happens when you get in exclusively.
