In your admin under BLOGROLL –> MANAGE BLOGROLL click EDIT next to one of your links. Now you are in the edit window. Look for +CATEGORIES (just like when you assign a post to a category). Your only option is Blogroll unless you add a new link category. Once you’ve added a new category you can edit each of your links and change them to that category.
As long as there are no links under the category Blogroll, that word shouldn’t show.