TweakUi by MS can do that. There is also a registry tweak :
Copy this into notepad and save as 'Shortcut.inf', then right click the file and choose 'Install'.
; setup file will edit the registry to remove the little arrows on short cuts
[version]
signature="$CHICAGO$"
SetupClass=BASE
[DefaultInstall]
AddReg=Install.Uninstall.Option,Install.Uninstall.Information
DelReg=Uninstall.IsShortcut
CopyFiles=Copy.inf.file
Restart
[DefaultUninstall]
DelReg=Install.Uninstall.Option,Install.Uninstall.Information
DelFiles=Copy.inf.file
AddReg=Uninstall.IsShortcut
Restart
[Install.Uninstall.Information]
HKLM,SoftWare\Microsoft\Windows\CurrentVersion\Uninstall\IsShortcutOff,,,
HKLM,SoftWare\Microsoft\Windows\CurrentVersion\Uninstall\IsShortcutOff,"DisplayName",,"Shortcut Arrow Killer!"
HKLM,SoftWare\Microsoft\Windows\CurrentVersion\Uninstall\IsShortcutOff,"UninstallString",,"c:\windows\rundll.exe setupx.dll,InstallHinfSection DefaultUnInstall 132 %17%\shortcut.inf"
[Install.Uninstall.Option]
HKCR,inffile\shell\Uninstall,,,
HKCR,inffile\shell\Uninstall,command,,,
HKCR,inffile\shell\uninstall\command,,,"C:\WINDOWS\rundll.exe setupx.dll,InstallHinfSection DefaultUnInstall 132 %1"
[Uninstall.IsShortcut]
HKCR,lnkfile,IsShortcut,,""
HKCR,piffile,IsShortcut,,""
[Copy.inf.file]
shortcut.inf
[DestinationDirs]
Copy.inf.file=17, ; put a copy of the inf file in \windows\inf
[SourceDisksNames]
55="Remove Shortcut Arrow","",1
[SourceDisksFiles]
shortcut.inf=55