Let it go....

I am working with SQL Server Compact. I've opened my database in the management console. Now I find that even after I disconnect, I cannot delete the database file in question. I close the Management Console, and I can delete the database. Surely if I disconnect from the file, the program shouldn't keep the file open, but apparently it does. This is not the first time I've had this sort of issue. If I close a file, then I'm telling you I want it back. Is that so hard ?