Usually , barring a hardware problem (especially if its just software that is mounted) an application or .dmg can be locked and impossible to eject if it has open files. In OSX it can be very simple. OSX mounts things under /Volumes/mountname . If you open up terminal in OSX, and list out the Volumes (type ls /Volumes/) you can see the name of whatever is mounted. The next command is lsof ( list open files) , run that on the offending mount and find out what file is preventing you from ejecting the offending application (lsof /Volumes/mountname).

Its easy to do and gets you closer to unix command line mastery.