I have a file that is linked to a very large budget file (25 megs) that is
supposed to pull info from the various sheets. When I "change source" after
having renamed the budget file, it simply hangs up with the hour glass
.....any suggestions?

I tried a find and replace (with the file name version), but it didn't work
on a global scale -- it hung up too. It worked on an individual cell basis
however.

Try turning off calculations before changing the source. (Tools-
Options-calculation(tab)-Manual).
It could be trying to recalculate your whole workbook after each cell
is changed.
Also, it may not be "locked up"...it might finish the process if you
gave it more time...how long, of course, is a question.