We are trying to copy a file from a server, down to a local machine in a .NET 2.0 application (C#), but keep having the source file unnecessarily locked. We suspect it is so
It is probably the McAfee on-access scanner that holds the lock. If you only use read access, it is bypassed. I believe that you can use the Sysinternals Process Viewer tool (free from Microsoft) to confirm that.
Not sure what subscription you have for McAfee, but you can define exception rules so that it does not scan this file.