For all those who wanted to change how their Desktop Icons looked, here is a post that can either remove or change the shortcut arrows on the desktop icons without any registry editing (read this for registry tweak)
Not only you can remove the arrow but you also have the option to select a smaller arrow or just create your own custom arrow and use it on the desktop icons.
All the above features are attained by small software by Microsoft called Tweak UI available for free. Just download the tool and run to customize Windows your way.
1. Run the Tweak UI tool.
2. Click on + beside Explorer to expand it and select Shortcut option.
3. In the right side pane, under the Shortcut Overlay you see four options.
4. Select none for no arrow, light arrow for smaller arrow or just use the last option to change it to some other image.