Hi. It means that they are shortcuts. The main (eg) document or folder is saved somewhere else** and you have put a shortcut to it on your desktop:

** If you right-click any document or folder you have saved, eg in OneDrive you will see near the bottom create a shortcut. If you then drag that to your desktop, it will have the blue arrow on it.
If you drag the desktop icon to your recycle bin, the shortcut will go but the main item won't.
Hope this helps.