Excel 2007 Setting

Go to File (or Office button in 2007).

then Excel Options.  Then on left side, select Trust Center.  Then click Trust Center Settings button.  Pick External Content from the left side, then select either Enable Automatic updates for all Workbook Links (which is not recommended)... or select Prompt User on automatic update for Workbook links.

I have that setting on my computer and it works, it shows "Security Warning Automatic update of links has been disabled" which I dont how I got it,
  but we tried it on my co-workers and it doesn't just gives this message which  Included Screen Print.
This-Workbook-contains-one-or-mo.doc

You will need to click Edit Links and re-direct the links to where the source files are.  It appears that perhaps the source file was deleted or moved.

I should have explained, the File we our opening is the same file, and I do not get that message but she does and that Security Warning message shows on mine but not hers.   We our connected to the same Source Network Drive.   So I thought it would have to be some Excel Setting.

Did you compare the settings in the Trust Center Settings section?  Are they the same in yours and your colleague's?

Yes

Thank you!