To Remove the Icon:
Open your registry and delete the value named 'IsShortCut' from the keys [HKEY_CLASSES_ROOT\lnkfile] and [HKEY_CLASSES_ROOT\piffile].
To Change the Icon:
Open the key [HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\
Explorer\Shell Icons] and create a new string value, or modify the existing value, called '29'. Set it to equal the filename, including path, for the icon you want to use for the shortcut arrow. By setting this to a blank icon it has a similar effect to the removal method above, without the side effects.
Restart Windows for the changes to take effect.
Note: This tweak effectively changes the properties of shortcuts so they are no longer considered to be shortcuts by Windows, this may have some slight side effects, such as hot keys not working as before.
For More Info Visit: http://support.microsoft.com/support/kb/articles/Q126/6/31.asp
