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.
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.