You will get 'content file locked' or 'access denied' errors in Steam. If Steam fails downloading/updating anything and you checked that Wallpaper Engine is closed, it is most likely your anti-virus deleting files, putting files into quarantine or blocking entire directories on your harddrive. Some files that come straight from Google for the web features in Wallpaper Engine are even falsely detected too.
Wallpaper Engine is more likely to encounter this issue than many games because it is programmed from scratch. Several anti-virus programs detect the one or other file as false positives.
