diff --git a/python/python/lance/udf.py b/python/python/lance/udf.py
index 525c3346967..de6c7c4ff59 100644
--- a/python/python/lance/udf.py
+++ b/python/python/lance/udf.py
@@ -6,6 +6,7 @@
 import os
 import pickle
 import sqlite3
+from contextlib import closing
 from typing import TYPE_CHECKING, Dict, List, NamedTuple, Optional
 
 import pyarrow as pa
@@ -105,64 +106,69 @@ class BatchInfo(NamedTuple):
 
     def __init__(self, path):
         self.path = path
-        # We don't re-use the connection because it's not thread safe
-        conn = sqlite3.connect(path)
-        # One table to store the results for each batch.
-        conn.execute(
-            """
-            CREATE TABLE IF NOT EXISTS batches
-            (fragment_id INT, batch_index INT, result BLOB)
-            """
-        )
-        # One table to store fully written (but not committed) fragments.
-        conn.execute(
-            "CREATE TABLE IF NOT EXISTS fragments (fragment_id INT, data BLOB)"
-        )
-        conn.commit()
+        # We don't re-use the connection because it's not thread safe.
+        # Each method creates and closes its own connection.
+        # Note: sqlite3's context manager only handles transactions, not connection
+        # closing. We use closing() to ensure connections are closed, which is
+        # required on Windows to avoid file locking issues.
+        with closing(sqlite3.connect(path)) as conn:
+            # One table to store the results for each batch.
+            conn.execute(
+                """
+                CREATE TABLE IF NOT EXISTS batches
+                (fragment_id INT, batch_index INT, result BLOB)
+                """
+            )
+            # One table to store fully written (but not committed) fragments.
+            conn.execute(
+                "CREATE TABLE IF NOT EXISTS fragments (fragment_id INT, data BLOB)"
+            )
+            conn.commit()
 
     def cleanup(self):
         os.remove(self.path)
 
     def get_batch(self, info: BatchInfo) -> Optional[pa.RecordBatch]:
-        conn = sqlite3.connect(self.path)
-        cursor = conn.execute(
-            "SELECT result FROM batches WHERE fragment_id = ? AND batch_index = ?",
-            (info.fragment_id, info.batch_index),
-        )
-        row = cursor.fetchone()
-        if row is not None:
-            return pickle.loads(row[0])
-        return None
+        with closing(sqlite3.connect(self.path)) as conn:
+            cursor = conn.execute(
+                "SELECT result FROM batches WHERE fragment_id = ? AND batch_index = ?",
+                (info.fragment_id, info.batch_index),
+            )
+            row = cursor.fetchone()
+            if row is not None:
+                return pickle.loads(row[0])
+            return None
 
     def insert_batch(self, info: BatchInfo, batch: pa.RecordBatch):
-        conn = sqlite3.connect(self.path)
-        conn.execute(
-            "INSERT INTO batches (fragment_id, batch_index, result) VALUES (?, ?, ?)",
-            (info.fragment_id, info.batch_index, pickle.dumps(batch)),
-        )
-        conn.commit()
+        with closing(sqlite3.connect(self.path)) as conn:
+            conn.execute(
+                "INSERT INTO batches (fragment_id, batch_index, result) "
+                "VALUES (?, ?, ?)",
+                (info.fragment_id, info.batch_index, pickle.dumps(batch)),
+            )
+            conn.commit()
 
     def get_fragment(self, fragment_id: int) -> Optional[str]:
         """Retrieves a fragment as a JSON string."""
-        conn = sqlite3.connect(self.path)
-        cursor = conn.execute(
-            "SELECT data FROM fragments WHERE fragment_id = ?", (fragment_id,)
-        )
-        row = cursor.fetchone()
-        if row is not None:
-            return row[0]
-        return None
+        with closing(sqlite3.connect(self.path)) as conn:
+            cursor = conn.execute(
+                "SELECT data FROM fragments WHERE fragment_id = ?", (fragment_id,)
+            )
+            row = cursor.fetchone()
+            if row is not None:
+                return row[0]
+            return None
 
     def insert_fragment(self, fragment_id: int, fragment: str):
         """Save a JSON string of a fragment to the cache."""
-        # Clear all batches for the fragment
-        conn = sqlite3.connect(self.path)
-        conn.execute(
-            "INSERT INTO fragments (fragment_id, data) VALUES (?, ?)",
-            (fragment_id, fragment),
-        )
-        conn.execute("DELETE FROM batches WHERE fragment_id = ?", (fragment_id,))
-        conn.commit()
+        with closing(sqlite3.connect(self.path)) as conn:
+            conn.execute(
+                "INSERT INTO fragments (fragment_id, data) VALUES (?, ?)",
+                (fragment_id, fragment),
+            )
+            # Clear all batches for the fragment
+            conn.execute("DELETE FROM batches WHERE fragment_id = ?", (fragment_id,))
+            conn.commit()
 
 
 def normalize_transform(