Question: Somehow TFS Power Tools thinks my file is checked out, it won't let me check-out because that option is greyed out. 

When I look in windows explorer I see my file with the little pen icon overlay. When I right-click and go to "Team Foundation Server", I choose undo but then get the message "There are no changes to undo in the selection or any children of the selection". If I right-click and go to Check-In then I get the message "no pending changes". 

When I open source control explorer in Visual Studio it shows no pending changes for the file.

Can anyone please advise any steps I can take to resolve?

Answer: 
Can it be that the file is checked out by you on another workspace?  
 Go to VStudio & check "Team Members" under Team Explorer. Right-click on yourself & select "Show pending changes". This should show all your checked out items, across all workspaces/worstations. You can also undo it there.  

Eventually, in order to find out what is happening with your file go in VS to  
"File">"Source Control">"Find in Source Control">"Status"  
Select the path to your module & hit 'find'. This should reveal if any other person has this file checked out
Seems strange, lets check common scenarios:

1. File is actually not checked-out but shown as checked-out in explorer
=> Please try to checkout file through VS, if you can, there is definitely some problem in Power Tools integration to Source COntrol. Restart machine. If problem is same then it might be case TFS credentials are different from Login windows credentials, status don't update sometimes.
2. File has set property of single check out by Admin & checked- out by anyone else thus preventing you from either check-out or check-in also undo checkout is not possible for same reason.
3. Create new workspace or try on other machine with different workspace.
=> Some times workspace conflicts, multiple mapping of same directory through multiple workspace creates problems.
4. Power Tools installation is corrupted or incompatible with some other extension.
=> Many a times, frequent abrupt power-off or etc corrupts software, reinstall latest Power tools. If problem persists, check if some other extension for VS or windows shell is not interrupting functioning.

Hope that helps, if not, let me know with more details like installed extensions, power tools version/ update installed.