eckyboy, Follow the instructions at the link below.
http://www.theeldergeek.com/remove_links_folder_in_favorites.htm
You can also hide it following the instructions under the Resolution section at the link below.
http://support.microsoft.com/?kbid=179599
Tufenuf
How do you delete "Links" permanently from your favourites? I delete it every time I go into them but it always reappears. The folder is empty and I want rid. Please help.

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic