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This was observed in Python 2.5.2 on Windows XP. Run this code in IDLE:
import xml.sax
from xml.sax.handler import ContentHandler
class C(ContentHandler):
	def startElement(self, name, attrs):
		assert False
xml.sax.parse(xml_path, C())
Where "xml_path" points to a well-formed XML file. This will raise an
AssertionError. Then, attempt to modify or delete the XML file that was
specified; it's still locked by the Python process.
Deleting the ContentHandler does not unlock it. There doesn't seem any
way to unlock it aside from terminating the Python process.
If the ContentHandler doesn't raise an exception or error, the file is
unlocked properly.

I can't reproduce this on Windows Vista from the command line with 2.7 or py3k. Can someone confirm that I'm correct?

This is a duplicate of issue15388. Parser doesn't close an input source's stream if an exception raised.