No it isn't in any of the template files or any of the other files in the 'misc' directory. It only appears in the 'themeindex.htm' file. This is the line. I assumed that it was 'hard programmed' in. By that I mean insert 3 dashes and a space before each line.
Instructions are on the templates.
Lost the banner but notice that there are still links top and bottom of the link directory. Sounds like you are talking about the Header and Footer files. These are only samples and you need to edit them. The file will open in notepad and you can change it. I have a few instructions within the file to get you started.