get tweakUI/system mechanic/tweakXp etc....there u have option to remove the Shortcut icon..with out messing up the registry....my sugession get TweakUI...
download a good tweaking utility from www.download.com
try tweakxp pro, tune-up utilities, etc
itl help you remove the arrows, but offer u sevreal other tweaks too !
Do you have System Mechanic???? It certainly is useful software. It has got many tweaks and one of them removing the shortcut icon. get it here
another very useful software is registry seeker. It is one of the free registry cleaner softwares available.Believe me it does great work and that too real fast .it has got a few tweaks and u can remove shorcut arrows with those little tweaks..get it here
else do this in the registry urself