Here's a 100% guaranteed foolproof and totally safe way of keeping the shortcut away - even with IconPackager active:
Open regedit (Start -> run -> type 'regedit')
Find "HKEY_CLASSES_ROOT - lnkfile"
In the right pane you'll see this entry: "IsShortcut".
Rightclick it and select 'Rename'
I simply rename it to "IsShortcutNot" 
Close Regedit, reboot and viola - no more shortcut arrow - ever!! (Well... not untill it's changed back or Windows is reinstalled)
(Works in Windows 98/2000/XP/Vista/W7)