First, delete any tables or other objects that may be using the data link. Then got to the "Insert" tab on the Ribbon, then click the "Data Link" button. In the dialog box that opens, click on the data link you want to remove, then right-click, and select "Delete", click "Yes" in the next dialog box, close the data link dialog box, and the link is removed. It took me a while to figure this out too.
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