Hence problem #1. There are different icons on the desktop with and without arrows, but single-clicking on them reveals identical behaviour - the target object is invoked. What arrow is for then ? For the user to see which is "real thing" and which is a representation of a concept she can't quite grasp anyway ? Wouldn't it be more logical if non-shortcuts couldn't be placed on desktop at all ?

Next, surprisingly, there are other places on the desktop where icons appear - task bar, quick launch bar and system tray. Those add to the confusion, because although their icons look identical, their behaviour is even more different:
Icon on the quick launch bar represents a possibility to start an application, clicking it starts another instance. Icon on the task bar represents an already running application, clicking it brings it to front. Icon in the tray represents an application willing to talk, but what happens if you click it is not known beforehand.
Hence problem #2: wouldn't it be appropriate if all these icons were different to some degree, or behaved in more consistent fashion ?
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