I have a robots.txt file which I thought would prevent a file from getting indexed/seen by Google but when I type site:domain.org.uk I see this:

http://www.domain.org.uk/_link.php?linkid=bennetts

The robots.txt file is:
User-agent: *
Disallow: _link.php

Is something wrong?

Thanks.

Nope.

All normal. robots.txt does NOT tell the bots that the URI should not be listed, it simply indicates that it is NOT allowed to index it.

If it finds a link to the URI it will list it as a "PIP" (Partially Indexed Page)

To take what chrishirst said even further -- you don't even have to have a link to the page that you don't want showing up in the SERP -- simply visiting the page can lead to its discovery by certain search engines. I know Alexa discovers, and subsequently indexes pages, through toolbar data, and I am mostly certain that Google does as well. I know that I've had googlebot hits to "hidden" pages, but I didn't really follow up with checking whether these pages were indexed or not.

If it's something that you really want hidden, you'll likely have to limit access by setting a cookie, enabling server-side authorization or using a session ID of some type.