The text replacements are made every time a post is displayed (ie. the posts aren't modified and saved into the database with the replacement). The replacement list is saved in the Config/Data.pm file - search for markup_custom. As for it still showing up after you deleted it from the list, perhaps the post has linked the text to that url. One cool trick is to add in ;literal=1 to the url to see the markup that was used in the post (not the generated html).

Adrian