Microsoft has a "Delete links  Wizard" Excel utility that will remedy the
problem for you.

http://support.microsoft.com/kb/q188449/

The Delete Links Wizard is an add-in file for Microsoft Excel that you can use
to delete links to external files in one or more workbooks. Currently, the only
way to perform this task is to manually delete the links or to use a Microsoft
Visual Basic for Applications macro to search, find, and delete the links. These
methods may require a significant amount of time if you want to remove  all the
links to external files. Using the Delete Links Wizard is more efficient than
manually deleting the links or running a macro because the wizard contains
options that make deleting multiple links easier. These options allow you to
easily delete any one of six kinds of links.