I noticed when a file is executed on Windows (.exe or .dll), it is locked and cannot be deleted, moved or modified.
Linux, on the other hand, does not lock executing
As far as I know, linux does lock executables when they're running -- however, it locks the inode. This means that you can delete the "file" but the inode is still on the filesystem, untouched and all you really deleted is a link.
Unix programs use this way of thinking about the filesystem all the time, create a temporary file, open it, delete the name. Your file still exists but the name is freed up for others to use and no one else can see it.