Unable to open http://

Hello I have received an Excel 2007 file from another external user. However I have now done some work on the file and when I now try and open it I receive the error message: Unable to open http://…. Cannot download the information you requested.
I cannot find any links to the referenced http:// file which I can remove. When I click edit links it just shows me the links I’ve created to another excel workbook. I don’t know how to remove this error message. The file does open but it is very slow.
Thanks