Try TweakUI:

For 95,98,NT,2k
http://www.microsoft.com/ntworkstation/downloads/PowerToys/Networking/NTTweakUI.asp
For XP
http://download.microsoft.com/download/whistler/Install/2/WXP/EN-US/TweakUiPowertoySetup.exe
For the gotcha's
http://support.microsoft.com/default.aspx?scid=KB;en-us;q237920

Once installed, check the "Explorer" tab.

>Hello all
>When we make any shortcut on windows desktop, shortcut’s icon have up turn arrow on one corner but on My documents or My Computer icon no arrow appear. Please tell how I can remove this arrow from my own created shortcut’s icon.
>
>Thank you,