Try this "TweakVista":
http://www.stardock.com/products/tweakvista/
Or the tips for Vista:
http://www.neowin.net/forum/index.php?showtopic=499870
Note : on the Neowin site,there was a file "RemoveArrow.zip",please download it,a RestoreArrow.reg and remove Blank.ico from your Windows directory were inside.