Some people do not like this behavior; it clutters up their comments.
This plugin disables intra-blog pinging.
Once activated, there's nothing for you to do. However, head to Settings -> Discussion and you'll find a field in which you can, if you wish, specify more domains that won't be pinged. Why? Well, maybe you often refer to other sites that you maintain or, particularly, you run a multi-site and don't want each blog pinging the other - specify a list here and you're sorted.
This plugin was originally developed by the awesome Michael D. Adams. Iconography is courtesy of the very talented Janki Rathod
