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. Locate the keys HKEY_CLASSES_ROOT\lnkfile and HKEY_CLASSES_ROOT\piffile.
3. Delete the value IsShortcut under both these keys.
4. Close the Registry Editor and restart Windows.
You can also do this using TweakUI.