I have seen this once - a showfile that wouldn't delete. I always got the same error - the same one you get if you try to delete the current show. I had to do a clean install to get rid of it.
Sometimes, problems can cause the Wholehog software to not properly release locks on files. If you can't delete a show other than the one that is currently loaded (which you should never be able to delete), try launching the show you can't delete and then quitting back to the start screen. This will often break the locks and allow you to delete the show.