Something like:
Sub Test()
    Dim stDir As String
    stDir = ThisWorkbook.Path
    If AnyFileLocked(stDir) Then
        MsgBox "File(s) open in " & stDir, vbCritical + vbOKOnly, "Error"
        Exit Sub
    End If
    'continue...
    Debug.Print "No locked files"
End Sub

Function AnyFileLocked(stDirectory As String) As Boolean
    Dim sFN As Variant
    If Not Right(stDirectory, 1) = "\" Then stDirectory = stDirectory & "\"
    sFN = Dir(stDirectory)
    While sFN <> "" And sFN <> ThisWorkbook.Name
        If FileLocked(stDirectory & sFN) Then
            AnyFileLocked = True
            Exit Function
        End If
        sFN = Dir
    Wend
End Function

Function FileLocked(stFileName As String) As Boolean
   On Error Resume Next
   Open stFileName For Binary Access Read Write Lock Read Write As #1
   Close #1
   If Err.Number Then
        FileLocked = True
        Err.Clear
    Else
        FileLocked = False
   End If
End Function