ENH(TST): print wtf() to stderr so to not interleave with nose errors
BF(TST): opening already opened files would not work on windows -- so close it first

See http://nipy.bic.berkeley.edu/builders/pymvpa-py2.6-xp/builds/14/steps/shell_3/logs/stdio
BF(TST): close file before its remove (for your lovely Windows)