From
http://www.mdgx.com/ .
"To safely hack the Registry to permanently remove those funky little shortcut arrows, without adversely affecting your program shortcuts in any way, start Regedit and go to:
HKEY_CLASSES_ROOT\Lnkfile
and to:
HKEY_CLASSES_ROOT\Piffile
In each of these folders the right hand pane has the "IsShortcut" String Value. Right-click on it, select Rename, and change it to read "IsNotShortcut" (no quotes).
Close Regedit and reboot.
The arrows are gone now, but Windows still sees all the affected icons as shortcuts and treats them accordingly.

"
Just like some of the other hacks that site offers, you wouldnt think it would be all that noticable, but it is. I'd upload a pic of my desktop now but my computer isnt wanting to let me. Try it for yourself.