Remove automatic links?

Good Morning Everyone:
I have a problem and I hope that someone out there may be able to help me.
I created a workbook by copying various sheets of information from various
different workbooks to form one. The problem is that now every time that I
open this newly created workbook it say the following:
"The workbook you opened contains automatic links to information in another workbook.
Do you want to update this workbook with changes made to the other workbook?"
and then it gives me a "yes" or "no" option.

My question is can I make this an independent workbook? Is it possible to remove all
links to other workbooks?

Any help given is greatly appreciated, thank you.