Links can also be contained in NAMES, or defined ranges, styles and sometimes even in deleted graphs, which the methods described above can not detect.
To find the offending links in NAMES, navigate Insert, Names, Define which then shows a window with defined names. Pick each name and see at the bottom what the name refers to. Most of the references will normally be valid references, but sometimes you can see the #REF which indicates that the reference is invalid. This particular name should then be deleted.
To find the offending links in STYLES, navigate Format, Style and then in the Style Name box you can see a style name with a name of another spreadsheet appended. These should be deleted.
To check whether you've found all the bad links, navigate to Edit, Links. If Links is greyed out, it means that you've found all the bad links already. If Links is not greyed out, well, then you use the sledgehammer.
Microsoft has a utility available that identifies bad links in Excel. Go to support.microsoft.com, search the knowledgebase for dellinks.exe and follow the instructions. This utility has always worked for me.
Good luck!
Wickus