The arrow you're looking at will be in one of the theme files at
C:\Windows\Resources\Themes. Most likely it will be the *.msstyles file. As to which number image it is.... If you find it, let me know!! There are hundreds of arrows in there!!
A problem that I can foresee is that once you've changed the arrow, will Windows still recognise it as a valid theme? Or reject it out of hand because the Checksum value or a.n.other has changed?
If the second then you'll have to patch your system to accept third party themes. That's no big deal though. I personally use the
Universal Theme Patcher as it's the simplest to use. There is a
tutorial on this site as well.
Hope that helps and the best of luck to you!!