I am operating an Express version of SQL Server 2005 on a Windows XP machine.
I have successfully setup a linked server to a remote Access (.mdb) database. With my user account (Windows authentication) I can retrieve and store data without any problem.
I have another user (apparently with same settings as my own account) that is always failing to get the data.
The Error message he gets is:

OLE DB provider "Microsoft.Jet.OLEDB.4.0" for linked server "TSU_Tmp" returned message "The Microsoft Jet database engine cannot open the file '\\DSITSO-NT0001\Exchange\Database5.mdb'.  It is already opened exclusively by another user, or you need permission to view its data.".
Msg 7303, Level 16, State 1, Line 1
Cannot initialize the data source object of OLE DB provider "Microsoft.Jet.OLEDB.4.0" for linked server "T ...

Go to the complete details ...