Try below:
http://wiki.uky.edu/sharepoint/Wiki%20Pages/Unknown%20Error%20Trying%20to%20Lock%20File.aspx
If it persists, there is a KB article about “Office 2003 and 2007 Office documents open read-only in Internet Explorer”, the scenario of your issue is very similar
to the issue fixed in this KB article, I suggest following the resolution and checking. For more information, please refer to:
http://support.microsoft.com/kb/870853
http://social.technet.microsoft.com/wiki/contents/articles/11155.sharepoint-2007-unknown-error-trying-to-lock-file.aspx
HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services\WebClient\Parameters
On the Edit menu, point to New, and then click Multi-String Value.
Type AuthForwardServerList, and then press ENTER.
On the Edit menu, click Modify.
In the Value data box, type the URL of the server that hosts the Web share, and then click OK.
Exit Registry Editor.