Here's how you can remove those shortcut arrows from your desktop icons in Windows XP.
2. Navigate to HKEY_CLASSES_ROOT\lnkfile
If you find difficult in reaching this file location, simply Press Ctrl+F to open find window. Enter "IsShortcut" and click find. now Press f3 till you get the file Inkfile located at Hkey_Classes_Root\Inkfile
3. Delete the IsShortcut registry value.
You may need to restart Windows.