The subject says it all. For some reason, there's no retry section under the Open Locks skill? I don't see anything in the errata. Do you guys allow retries? Or only when the character raises a level? What about taking 20?
I would say you could take 20 - and that you could thus retry as many times as you like.
Now - there is the possibility that the lock is just beyond you (a first level character trying to hit DC 40) in which case you would have to get better tools or improve your ranks in the skill.
However, you COULD set off a trap connected to the lock if you messed with it long enough...
IMC most thieves take their time to make sure the thing isn't trapped before they try and open the lock. It also has a tendency to restrain "knock spell happy" wizards.
If you spend two minutes screwing around with a lock that it connected to a trap, or that has a trap built in, there's a pretty good chance that you'll set the trap off.
There is unfortunately nothing in the book I have that say anything about retrys on Open Lock checks.
That mean there isn't published anything about it (from WotC). I have seached The PHB, DMG, SRD, SnF, SnS, all the playtesting material of the same books, the D&D FAQ, and all the errata.