If you want to permanently remove them follow these steps exactly.
Click your "start"...then "run"...the type in "regedit" (without the quotes)...click and open "HKEY_CLASSES_ROOT/" by clicking the plus sign...then click "edit"...then "find"...in the find text box type "IsShortcut" (witout the quotes)...(If you are running) WindowsXp there will be five references in all and you will have to use the "find next" method for each one)...once you have found them...right click...then click "rename"...in front of IsShortcut..."Arioch" (without the quotes) so it looks like this...AriochIsShortcut. This will remove all shortcut arrows on your icons. If you ever want to put them back just erase "Arioch" in front of IsShortcut.
I used this method and it worked perfectly with no problems.
One word of warning...your tweaking your registry to do this so be absolutely careful not to edit anything else whatsoever.