Yet, again like Windows XP, Windows vista also have a shortcut arrow on each and every shortcut you create and you cannot remove it or modify just through a registry hack.
I have been searching it for days but could not find out a way to do it manually through some registry tweak then, last night I found a cool utility called Vista Shortcuts Overlay Manager.
( click the image on the left to enlarge )
As seen in the image above you can easily select different radio buttons which says arrow , light arrow , custom arrow , no arrow.
As shown in the image above, if you remove the arrow form all the shortcuts in vista yo just need to log off and log in again, you do not need to restart your system.
If you select the custom arrow option then Select button gets enabled and you need to browse and select the icon.
Note: Application is fully supported on the x64 platforms