Microsoft at one time provided us with what it called tweak.UI to make changes to our system. One of the changes was to remove the arrow from shortcuts. Though this is generally not a big deal for many of us, some people like their icons without the arrow. You can make changes to the registry to accomplish this task, but for those who like a simpler way, you can use a free program called Vista Shortcut Manager.
The programs also allows you to customize the shortcut arrows and give you several different options. You can download a free copy from the link below. The program works with both Vista and Windows 7.