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I did a google search & found this Solved: double arrows on shortcuts icons on desktop running Vista - Tech Support Guy Forums
Jerry
From doing enough Googling. found someone who had Norton 360 installed like me. The double blue icons means there are files that haven't been backed up. I went to Norton 360 and learned how to turn it off, rebooted and they are now gone!!!! For anyone that does have Norton 360, if you kept it turned on, when you backed up the files, the icon would turn a solid green arrow instead of the 2 blue arrows.
Thank you for your help. Icone was gone. Now it looks okay. Thanks guys