It looks like the link checker has been removed from SPD 2010 (It was never terribly useful, however that’s not the problem – I was hoping that MS would improve it, not remove it) <small tear for features recently departed>.
Anyway in my 40 second crusade for answers I came across a newsgroup that mentioned this tool – the SEO Toolkit from Microsoft. One of the things it does is a check for broken links! Oh happy days.
The iis.net site is actually very impressive – I just wish they’d tell me how to use the WCat load testing tool on SharePoint – That would be ever so sweet!