I can't give you a solution, but I suspect it is a file system issue. Windows 7 has given me headaches claiming files are in use and can't (say) be moved. Usually if I close all applications that have touched the file and wait 5 minutes, the contention resolves but twice I've had to reboot so that I could move a zipped directory. I've heard others complain about this also on mail lists, so it isn't just local. Perhaps you have something like this happening?
Thank you, Sam. Basically, you are right, it is the file system problem.
After several emails exchange with Mentor tech support, I found that PHDB database required by PEX is not supported for any non-Linux database.
Therefore, I guess I still need to stick to the Linux database.