You can use free software like Xenu Link Sleuth, found at:
http://home.snafu.de/tilman/xenulink.html
The software lets you check your website for broken links or pages that do not exist. If you link to a page that does not exist, the search engine spiders may try to crawl and index that page. You can be negatively penalized for the search engines if too many of these broken links exist, either as internal or external links on your website.
If you are linking to external pages on other websites, do frequent checks to make sure they have not been taken down or moved. Although you cannot control the actions of other webmasters, you can make sure that you do not link to pages that no longer exist or whose content has been changed.
