Or depending on numer of pages (if you have over 500 it will take forever), online tools : http://www.dead-links.com http://www.1-hit.com/all-in-one/tool.broken-link-finder.htm etc.
Thanks it's really good. I got the source of the broken link atlast. Was bothering my for a very long time.
Xenu is fast, multi-threaded, can be set to ignore certain types of links, works well on a large site with a large number of outgoing links and/or internal links, as you choose. It generates a report as an html page which makes it useful for editing/repairing your site once it locates the broken links.