http://www.mssqltips.com/tip.asp?tip=967

I had a database with 13 filegroups and a previous DBA had set two files up in each filegroup across two different drives. I used DBCC ShrinkFile(EMPTYFILE) to combine the 2 files in each file group and place on a large SAN drive. I also set the new data file to unlimited growth. When I ran the Shrinkfile, I received a Query Executed Successfully on large .ndf files in a matter of seconds, and when I ran the ALTER Database  Remove File, I received the error that the file could not be removed as it was not empty. Shortly thereafter I received an alert we have set up for databases notifying me that the filegroup was full. Would you please advise on what occurred here?

I've seen this in the past and I vaguely recall having to first move the tables and all indexes from the original filegroup to the destination filegroup by dropping and re-creating the indexes so they are re-created on the destination file group. 

Thanks for the info.