One thing I just discovered myself is that links where you have absolute references instead of relative ones will appear as unlinked files.
For example, if your link says either
http://mysite.myserver.com/page.html or
file:C:///webdirectory/websubdirectory/page.html
the page will cause an unlinked reference in the reports section. This former situation won't cause a problem as long as you're publishing to the same site every time, but if you tried to publish to another site, the links would still point to mysite.myserver.com. The latter will point to the files on your hard drive.
I discovered that even if you open a link that is listed as
http://mysite.myserver.com/page.html and delete out the URL up to the file name, FrontPage will still sometimes treat the link as an absolute hyperlink, especially if you copy and paste that button somewhere else (and I imagine this would apply to shared borders as well).
The solution is this: in Hyperlink properties, when you are selecting the page to link the object (button, link, text, whatever) to, click in the WINDOW where your current pages are already listed instead of using the Web or File buttons to browse to a page, or typing/editing in the page name manually. For whatever reason, FrontPage treats anything manually typed or browsed to anywhere other than the window as an absolute link. I've attached a jpg of what I mean, in case my explanation falls short

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If the page is properly linked as relative, it will show up in the hyperlink properties as JUST the page name, or a subdirectory (like "images/mypicture.jpg") and NOT as an "http" or "file". reference.
I went round and round trying to figure this out in a website I was editing for someone else, and it finally clicked for me. Hope this is what's causing your problem and it helps.
Good luck!