The only way I'm able to get similar errors is if I first install one 
package with binary dependencies, try it out, and then install a second 
packages with binary dependencies from the same session (e.g. install 
Winston, draw a plot, then install Requests). One or more files apparently 
remain locked.

I've was able to fix it by restarting Julia and running 
Pkg.build("GnuTLS"). I suppose restarting and reinstalling the latter 
package should also work?

Otherwise "Requests" worked fine on my machine (Win8).

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