Hi,
The History palette is located somewhere in your Hard drive,
most probably in C:\Documents and Settings\"USER"\Local Settings\Application Data\Unigraphics Solutions\UG\
Right mouse Click on history and open with Notepad or any text editor.
Locate the name of the link which is broken and to be deleted.
Delete between <PaletteEntry id=" ">- - - - </PaletteEntry>
just save.
Open UG and check your history.
Good luck
(make sure you keep a backup of the file before you modify)