Break link will not go away

I have a user using Excel 2007, who copies a sheet to a new workbook. The user clicks Office Button, Prepare, Edit Links to Files menu to reach the link dialog box.
Clicks Break Link button, then clicks the second Break Links button.
Closes the Edit Links dialog box to complete the steps.
Then clicks back on Office button etc. to bring up the Edit Links dialog box and the link is still showing up.
Edit Links to Files is still on the Prepare menu, and the file is still in the dialog box.
For everyone else the menu is gone when these steps are followed.

Any one have any idea why the menu selection is not going away.
We check the cell in the spreadsheet and there is no longer a link, just the value.

Thanks, Jesseb