Go To:
Computer\HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Explorer\Shell Icons

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If these Path doesn't exist, Create the Folder 'Shell Icons'

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From this Folder, Add New String Value Name it as 29 double click it and add the Value as:
%windir%\System32\shell32.dll,-50

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Now, restart Windows Explorer in your Task Manager, the Arrow Icon should disappear, Voila!!!

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Note: If you experienced black Square on the Desktop Shorcurt, when you restart your Device, try modifying the value again and enter this: %windir%\System32\shell32.dll,50