I have seen a few people asking about removing the shortcut arrow from the Vista interface and thought this might be of interest to some. I have tested this method on Vista Home Premium, and it should work fine on all versions.
This method involves downloading a blank '.ico' file in a compressed '.zip' file > extracting the file and placing it in your '\Windows' folder (usually - C:\Windows) > creating a new registry key and string value.
That being said, I must include the following:
Warning: Serious problems might occur if you modify the registry incorrectly by using Registry Editor or by using another method. These problems might require that you reinstall the operating system. Modify the registry at your own risk.
Note - you may need to reboot as indicated in the article, and if anything goes wrong the easiest solution would be to 'delete the new registry key > remove the '.ico' file > reboot' to place yourself back where you started. 
