hiya,
Things to check:
1. Did the file not have links earlier, then possibly after copying have the links? Might be phantom links. If not move to (2), otherwise do an editlinkschange source and select the file itself.
2. Formulation in your sheets. An easy way to search is to go to Tools-Options-View and check "view formulas" so you can scan for links. If you only have that one file open, links really stand out (instead of ='[Book1]Sheet1!A1 you'd see 'C:My Documents...!A1).
3. Do you have any named ranges? Check InsertNameDefine - you may have named ranges that have source data to another file. you can tweak the source data or delete the offending named range from there.
4. Any Charts? Check each data series in your charts to see references to other files.
Good luck,
Adam