I'm having the same issue with Excel 2003.

We don't have file sharing setup on the workbook.

I thought by default if one person has a workbook open and someone else tries to open it they'd get the Notify option, however this has stopped happening recently. Now when the customer goes to save they get prompted with a message saying the file has changed since they opened it and do they want to overwrite changes.

Is there a new hidden setting somewhere that I can switch on for the document asking it to notify on open if the file is in use?