Depending on your upgrade path through the different versions of excel, you can
have a few XLStart folders.
Make sure that there are no files in any of those locations.
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And if you've double/triple checked this, excel can also start workbooks based
on entries in the windows registry.
But do this first just to verify that you can stop the message.
Close excel and start it in Safe mode:
Windows start button|Run
excel /safe
Did you get the message?
If you're comfortable messing around in the registry:
In xl2002, the registry key is:
HKEY_CURRENT_USER\Software\Microsoft\Office\10.0\Excel\Options
(look for OPEN, OPEN1, OPEN2, etc.)
These have to be in nice consecutive order. So you might have to rename some to
make them consecutive again (after you delete the offending one).
And since you're working in the registry, make sure you back it up before you
start.
If you're nervous poking in there, you could look and report back what you
find. But be careful. Changes to the registry are immediate--there ain't no
"are you sure" prompts.
But I'd really look one more time at the various XLStart folders.