Maybe I'll try a shot in the dark then and:

Create a 2nd file (FileGroupFile2) in the same file group and then

DBCC SHRINKFILE (N'FileGroupFile1' , EMPTYFILE).

Then ALTER DATABASE MyDatabase REMOVE FILE...

I'll create a new post:-P

I believe I am having the same issue.

I copied a 300GB table out to a new filegroup (because to was too large to shrink after mass deletes)

It ended up to...