Probably my biggest pet peeve with SharePoint Designer, other than the occasional lock up and crash, is that frequently it will show files as being checked out when they are actually not.  This is particularily annoying, because you will have to pull up the site in a browser and check it out from there to do any edits on the file.   I still have not figured out a good reason for this, other than that the “value” for this appears to come from the user cache, rather than from the server.  Kind of a poor implementation in my opinion.  Regardless, at least it is fairly easy to resolve.  Just browse to (from Windows 7):

C:\Users\YourUserName\AppData\Local\Microsoft\WebsiteCache

Then find the site that is giving you grief and delete the associated files.  SharePoint Designer will rebuild them next time you pull up the site.