Summary of all of the answers in this thread:

Links can be from cell in one workbook to another in another workbook, which is easy to find, but there are OTHER ways that workbooks can be linked... and ones where it is impossible to break the link via the Modify Links button under the Data menu. These a

1. Conditional formatting (home menu) can refer to another workbook (suggestion: kill your conditional formatting and redo it line by line);

2. Data validation (drop-down boxes) citing a list from a cell range in another workbook, or anything like this in data-validation (see Data menu);

3. Names: in Excel you can "name" a range of cells, and refer to that name just like any other cell... so a formula like =A1+A2 could also be =C5+WALLSANDWINDOWS. These names can reference cell ranges in another workbook, so you should look at them.


Two tricks to finding out what's wrong:

1. Under the Data menu, use the option "Circle invalid data" (under the Data Validation button);
2. Under the File menu (or Home Ribbon in 2003), validate the Compatibility - it won't tell you what is causing the problem exactly, but it will give you a good idea of where to look.

Good luck!