1. Start regedit.2. Navigate to HKEY_CLASSES_ROOT\lnkfile3. Delete the IsShortcut registry value.4. Navigate to HKEY_CLASSES_ROOT\piffile5. Delete the IsShortcut registry value.
You may need to restart Windows.
Credit goes to some guy who wrote it on a website I can't remember...
Note: Please note that in some cases deactivating the arrow for *.LNK files might lead to duplicate items in the Explorer Context menu.