Dual screen switcher icon - Dell Laptop with Intel wideo card

The Intel Graphics Media Accelerator (GMA) allows hotkeys to be used to switch screens around (and other things) while in dual-screen mode. To do this, it runs a hotkey manager. Dell has injected some code somewhere that recognises when the hotkey manager is running and the dual-screen mode is active, and imposes their own arrow icon button into the title bar.

I had half-suspected the Intel GMA hotkeys may be involved, and had disabled them through the GMA interface, but this still leaves the manager itself running.

Solution - in the short-term, check the active processes in Task Manager and locate hkcmd.exe. Kill this process, and the arrow goes away, but will come back next time you reboot (or login?).
To get rid of it permanently involves removing an entry from the registry (always export your registry before tinkering with it - just in case). Navigate to HKLM\SOFTWARE\Microsoft\Windows\CurrentVersion\Run and delete the hkcmd.exe element, then reboot.