To resolve this, you need to go manually (ugh) into the cache on your machine and delete the offending files.
On Windows Server 2003, I had to go here:
cd %userprofile%\local settings\application data\microsoft\websitecache
On Vista, I had to go here:
cd %localappdata%\microsoft\websitecache
Once you get there, go into the folder of the website you're having trouble with, and delete everything in it. The next time you open SharePoint Designer, your file will not be marked as checked out.
Also, you might want to be sure you have other files checked in before you do this. You don't want to screw up the status of other files to fix just the one file, so be careful.
