Is it possible to edit the list of links to look something like this?

Heading One <-----Not a link

Link One
Link Two
Link Three

Link Four
Link Five
Link Six

If any one has any ideas I would love to hear them. Thank you.

I'm 99% of the way through a simple custom links module that does just that. it's the first DNN module I've developed. I was so frustrated at not having categories in the links that I've used this as an example project to get into module development.

It doesn't track the links you click, but it does allow you to have categories and links within them, and to do some customisation on the layout of a given module within the settings screen.

All I've got left to do is figure out how to package it up and release it - when I've done that I'll post a link here to it

I think you should try using  the iventua SideMenu module, i don't know if does it have any property to make a link unable like you want, but the structure is similar.

So, i gues you should try go this direction for download this module    http://www.inventua.com/dnn-sidemenu.content