Make sure you call picBox.Image.Dispose before deleting the file
e.g.
Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
System.IO.File.Copy("c:\winnt\zapotec.bmp", "c:\temp\zapotec.bmp")
PictureBox1.Image = Image.FromFile("c:\temp\zapotec.bmp")
End Sub
Private Sub Form1_Closing(ByVal sender As Object, ByVal e As System.ComponentModel.CancelEventArgs) Handles MyBase.Closing
PictureBox1.Image.Dispose()
System.IO.File.Delete("c:\temp\zapotec.bmp")
End Sub