If it is one arrow, you are probably talking about SHORTCUT icons.
<img src=”http://techsalsa.com/wp-content/uploads/2008/12/shortcut_arrows.jpg” alt=”Shortcut icon” />
That small arrow at the bottom left corner signifies that the icon is a shortcut to some file or program, and not the icon of the file itself.
If they are two blue arrows making a circular shape, then you are probably talking about <a href=”http://support.microsoft.com/kb/307853″>Offline Files</a>.
<img src=”http://img16.imageshack.us/img16/2427/offlinefile.png” alt=”Offline file” />