The blue arrow overlay indicates that the file is a link to a file in an other project;
on the filesystem, you won't find this file within the folder of the given project - it only exists as file at the other project.
The code within this file gets compiled into each project that references this file.
This is typically done to share common assembly related info over projects, like author, company, etc.
You achieve such a link/shortcut within a project when adding an existing item via the menu as follows:
Add > Existing Item ... > Add As Link
'Add as Link' appears as alternative option on the Add button via its dropdown menu.