"Windows Vista Shortcut Overlay Remover, aka FxVisor, allows you to either remove or enable the explorer shortcut overlay arrow that is added to all shortcuts. Currently there is no native way to remove the shortcut overlay arrow or to even customize it in Windows Vista, so we have written the Vista Shortcut Overlay Remover utility to enable you to do just that."

Here is a Shortcut Overlay Enabled Desktop (click on images to enlarge)
Let's get rid of the shortcut arrow, go ahead and launch FxVisor
Remove the Shortcut Overlay by choosing No Arrow
To complete the changes, you will have to Logoff
Now here is the Desktop with the Shortcut Overlay Remove