Just updating this for Powerpoint 2010.
If you get this warning message "powerpoint references to external pictures have been blocked".
You can find the offending links by File -> Info -> Edit Links To Files
(see bottom right)
This will give you the name of the offending link, but annoyingly doesn't tell you which slide it is.
However, as the PPTX file is actually a zip file, you can copy the pptx file, rename it as .zip then open it in a zip tool and extract it to a local folder. You can then search (i.e. grep) through the XML files (one per slide) found at this location: folder_where_unzip_was_done\ppt\slides
You should search for the URL (or part of it) that was revealed by the "Edit Links To Files" utility above. IN this way you can find and fix the offending slide.