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This is easy hack to remove arrow from shortcut link files.
go to 'regedit'
browse 'HKEY_CLASSES_ROOT\lnkfile'
remove 'IsShortcut'
after restart your PC.. arrows from link files will gone.
Done.
Update [5.11.2010]
Also Browse 'HKEY_CLASSES_ROOT\InternetShortcut'
remove 'IsShortcut' and Restart PC.