It works fine on my excel 2k, but Microsoft does have another article about excel 2k not breaking links as expected. The workaround is kinda unreasonable though...
WORKAROUND
To work around this issue, follow these steps:
Open the workbook in Microsoft Excel 2002, and then click Links on the Edit menu.
Select the link or links that you want to delete, click Break Link, and then click Break Links.
NOTE: The Break Link command is not available in Microsoft Excel 2000 or earlier versions. Excel 2000 and Excel 2002 share the same file format.
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