If I click on it... is says it can't find the item, I can't right click on it at all, and I can't drag it to the trash. It's also not listed under sidebar preferences so I can't uncheck it.
Network drives can only be ejected not dragged off the sidebar.
OP, If it's actually under Shared, there should be a little round eject icon next to the network share name. Click that. If it's under Favorites then dragging it off (no key combo needed) should do it.
bugalugs answer was the correct one, I even tried to just drag it off of the favorites and it would not work...I used the hold [option] + [command] and it work like a charm. Thanks!
I couldn't remove a folder which was linked to a network location using Command + Drag, like it was possible with the other items on the Favorites. Option + Command and drag did the trick. Thanks.