Sounds like MPLAB is encountering a read-only file which it cannot
delete.  Source Safe will mark its files as read-only when they are
checked in unless you tell it to remove the checked in file.

>From the message, sounds like you're checking in the .HEX file and
then trying to rebuild.  MPLAB tries to delete it when rebuilding,
then runs into the fact that it's read only, and prompts you with
that message.

Darrel Johansen