A lot of system files cannot be moved after the system boots, such as the page file and registry database files.
This utility runs before Windows boots to defragment those files. I have it set to run at every boot, and it works well for me on several machines.
Note that the very first time you boot up with this utility set to run, it may take several minutes to defrag. After that first run though, it finishes in just 3 or 4 seconds.
Edit0: To respond to your clarification- that link says windows has marked the page file and registry files as open for exclusive access. So you should be able to do the same thing with the LockFile API Call. However, that's not an attribute of the file itself. You'd have to actually run some background program that locks the file for exclusive access.