There are several places for Hidden Links.
Save your work and use a temporary version as you can change data by changing links.
The easiest to find are using
Edit Links
What you do then depends on your data, you have a number of options:
1) Change the links to a different file (Change Source)
2) Find the location of linked cells and change them to values.
Select every tab in a workbook (Check incase you have any hidden sheets - Format Sheet unhide)
Ctrl F (Find) then copy and paste values. Make sure that you take off the grouped sheets before copy/pasting. If the values are not needed you can just delete the cells.
The Next place for hiding hidden links is in named ranges:
Insert Name Define.
In the dialog box click the first spreadsheet name and look at the reference (Bottom line of dialog box). If the link points to a non existent file delete the link.
There could be something in an auto-open macro, in the VBE check the This workbook module to see if this is the case.