VBA to check if any files in folder (and subfolders) are open?

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

Okay, try this:

(note the correction I've made to the original AnyFileLocked function, too)

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

Function AnyFileLockedSub(stDirectory As String)
    Dim fso As Object
    Dim fo, sf

    If Not Right(stDirectory, 1) = "\" Then stDirectory = stDirectory & "\"
    On Error Resume Next
    Set fso = CreateObject("Scripting.FileSystemObject")
    Set fo = fso.GetFolder(stDirectory)
    If Not fo Is Nothing Then
        For Each sf In fo.SubFolders
            AnyFileLockedSub = AnyFileLocked(stDirectory & sf)
            If AnyFileLockedSub Then Exit Function
        Next sf
    End If
    AnyFileLockedSub = AnyFileLocked(stDirectory)
End Function

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

Function FileLocked(stFileName As Variant) 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