The arrow mark is rally very ugly to see with the icons. I hate that too. To remove that follow the steps:

- Go to Start Menu then Run. Type regedit in Run box to go to Registry Editor.
- Browse the Key HKEY_CLASSES_ROOT
- Open the Key LNKFILE. Now delete IsShortcut
- Now open the next key PIFFILE under HKEY_CLASSES_ROOT key and delete IsShortcut
- Finally Restart your Windows and Enjoy without shortcut mark icon