Somewhere in your workbook you will have cells that are referring to data from another workbook. The formulas in the cells will look something like:
='name of other workbook.xls'!$A$1
or
='C:\documents and settings\user\my document\other workbook.xls'!$A$1
If you're sure you don't need them then just delete the formulas, however if the cells are used then you may lose some of the functionality of your current spreadsheet. Maybe best to save a copy of it first, remove the links and see if it still functions correctly