I thought I'd post this for the benefit of others, since I just spent half a day trying to resolve it. Plus, next time this happens and I forget the solution, I hope to find this post when I search the forums...
Quartus (for Windows) keeps a file in the <project>/db folder with a name of the form <project>.quiproj.<somenumber>.rdr.flock. This tells it when the project is already open. If your session crashes, it can leave this file lying around, which means that when you try to reopen the project, you get the "already open" message.
An article in the support database tells you to manually erase this file to resolve the issue, but in my case when I tried to erase it manually, Windows just said "Permission Denied", even though I'm an administrator on this machine. Neither cygwin nor FTP could remove it either.
Turns out, although the session had crashed, there were still Quartus processes running. Since I rarely reboot this machine, over the last 6 months several crashes had led to several hung processes and several unremovable flock files in the db folder. Each of these processes was consuming about 2 GB of memory too! (fortunately I have lots).
I killed the processes and the .flock files were automatically removed! Problem solved.
