Assuming you're running your application on IIS, and that the link is not to an external site, you could look at the IIS log file, which by default, records a line for every request made to the server. A missing link should probably result in a line in the log file with status 404.
To find the location of the log file (in IIS 7) open IIS Manager and expand the tree view to see the node corresponding to your website. In the main panel, open the "Logging" item whcih should show you the directory. This is typically %SystemDrive%\inetpub\logs\LogFiles but I've also seen it as %SystemDrive%\Windows\System32\LogFiles.
A useful tool for interrogating the (sometimes incomprehensible) IIS log files is LogParser, available from Microsoft.