I have pressed some key and blue color arrow is appearing on left hand side of visual studio 2010 and i am not able to see how to remove it or disable it.
Please see the attached image.

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It is a task list icon. You may have added it, or it may have been automatically added by the editor (for example to mark lines with ‘TODO’ comments).
Similar to a bookmark, it allows you to jump through items marked by it.
http://msdn.microsoft.com/en-us/library/k4efffwe%28v=vs.80%29.aspx