Shortcut arrows on both Windows XP and Vista Desktops can be disabled by using one of the following Windows "Power Toys". These programs can also make other useful changes to the look and feel of you computer.
For Windows XP users download TweakUI a free Microsoft Power Toy program.
http://download.microsoft.com/download/f/c/a/fca6767b-9ed9-45a6-b352-839afb2a2679/TweakUiPowertoySetup.exe
For Vista users use Total Idea's TweakVI, with it's free version this among many other changes can be made with ease.
http://www.totalidea.com/content/tweakvi/tweakvi-index.php