|The question is not clear, but here goes anyway:|
If there was a folder icon with a shortcut arrow that is now missing, you do not need to recover it... just re-create it (make a new one).
If you mean that you have a folder icon with a shortcut arrow that no longer opens the target folder, you can edit the Properties of this shortcut-folder to correctly reflect the intended target.
If you mean the target folder is now missing, you certainly should have been more clear about indicating that in your question. That would mean that the target was moved elsewhere, or deleted. If deleted, you have two options: look for it in the Recycle Bin and restore it, or else you will have to use data recovery software. If the data recovery option is required, be aware that continued use of your system makes recovery increasingly unlikely.
Be clearer in asking your question, so we can target/fix the problem instead of making best-guesses in the dark.