my links do not update

I have a word document which has contents from 5 other word documents. I have
linked the 5 documents to my word document as copy special, paste as link as
Formatted Text (RTF).
I have the following problems:

1) I selected the automatically update icon in the Links option of the Edits
menu, but the links do not automatic update and it prompts me every time I
open my document.

2) I also get this error message every time I try to update the master
document “objects in this document contain links to files that cannot be
found. The linked information will not be updated�.
Help!

Thanks