I find the Microsoft Vista shortcut arrows quite annoying, in my opinion they make your desktop look untidy. The following steps allow you to remove the shortcut arrow for good.
1. Launch Regedit: Start>Type ‘Regedit’ and press enter.
2. Navigate to: HKEY_Local_Machine\SOFTWAREMicrosoftWindowsCurrentVersionexplorer
3. Create a new key and call it ‘Shell Icons’
4. Within ‘Shell Icons’ create a REG_SZ called ’29’
5. Assign ’29’ the following value: %SystemRoot%\noarrow.ico,
6. Download noarrow.ico and copy it to your system directory (eg C:Windows)
7. Restart your computer