There could be many reasons why it wont backup an open file
a) The file is in use and BE is not able to lock the file in order to back it up(BU).
b) you are trying to backup some DB like SQL, exchange (pub/priv.edb) etc etc. by selecting it at file level.
c) if you want to backup the above online you will have to stop the services and then back it up at file level or, buy the exchange agent sql agent etc
d) if it doesnt fall inot the above, you can always buy the open file option which will allow you to backup open files but note, OFO is not designed to backup DB's online
Also, you should see what its skipping and if you need to back it up or maybe you are backing up through selecting something else. An example:
If you make a BU selection of NTDS.dit (Active Dir. DB) on a W2K DC by selecting it via winnt\ etc etc ie at file level, BE will probably skip it but, you should be backing up the AD DB via the system state components whereit will back it up fine and I guess flushes all the transaction logs associated with the AD DB.
Hope this gives you an idea....or, is it clear as mud

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Dog