Hi,
I'm Rodrigo and I'll help you.
This icon on your files means that they are syncing to OneDrive, you probably have the OneDrive backup feature enabled, to disable follow the procedure below:
Right-click the OneDrive icon on the right side of the taskbar (cloud icon) > Settings > Sync and backup > Manage Backup > Turn off the folder options.
After this procedure, your files will stop being synced to OneDrive and your folder locations will restore to default, your files may disappear from the folders, but don't worry, your files are in the OneDrive folder, you need to move them from the OneDrive folder to the folder. The OneDrive folder is located at C:\Users(Your User Name)\OneDrive