Use System Restore to when it was OK.
Use TWEAKUI XP to turn off the shortcut arrow.
Use some other tool that changes the shortcut arrow to another graphic.
One of my favorite fixes was to reboot. Why? This is an old OS and when it runs out of resources, it can do oddball things like this.
A few days ago I noticed a green square replacing the shortcut arrow in most desktop items on my computer.
I am running Windows XP Pro, SP3. Full system details are avalible on my profile.