Shortcut icons have a small curved arrow in the lower-left corner. To remove the arrow, follow these instructions:
1. Start the Registry Editor
2. Go to HKEY_CLASSES_ROOT \ lnkfile
3. Delete the value IsShortcut
4. Go to HKEY_CLASSES_ROOT \ piffile
5. Delete the value IsShortcut
6. Close the Registry Editor and restart Windows
Note: These settings can also be changed with TweakUI (you can find it on your CD-ROM in the \tools\reskit\powertoy folder).
You can also use my Tweaking Toolbox for Windows, one of it's functions is to remove the Shortcut arrow.
For more information & free trial, check the Tweaking Toolbox for Windows pages. 
Get rid of Shortcut Arrow