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
I think you're too absolute about Windows. Normally, it doesn't allocate swap space for the code part of an executable. Instead, it keeps a lock on the excutable & DLLs. If discarded code pages are needed again, they're simply reloaded. But with /SWAPRUN, these pages are kept in swap. This is used for executables on CD or network drives. Hence, windows doesn't need to lock these files.
For .NET, look at Shadow Copy.