You have to perform a manual registry edit.

However, removing the shortcut arrow can cause problems.

Warning: If you choose None, you cannot differentiate between the shortcut and the actual file/folder. You may end-up copying a shortcut to a file in situations where you need the original file. Hence, setting the arrow to None is not advisable.

Another warning:

Note : Please note that in some cases deactivating the arrow for *.LNK files might lead to duplicate items in the Explorer Context menu.

I would advise you don't do it.

If you decide to do it,you can refer:
How to remove the arrows on the desktop shortcut in windows 7



But it's not recommended,please backup your registry before you change your registry