You'll need to use an image of an arrow for your custom marker, and you will still be able to change other attributes of it (size, transparency, etc).
If you use a custom image marker, you may run into problems where Visual Studio fails to render the map in design mode from time to time - it's incredibly annoying, so I find it best to drop in the custom images as the very last thing I do when building a map (just use a circle marker or something in the interim).