I finally manage to make it this way:
Public Sub PPTApp_WindowSelectionChange(ByVal Sel As Selection)
On Error GoTo NoShape
If Sel.ShapeRange.name = "arrow" Then
ActiveWindow.Selection.Unselect
End If
NoShape:
If Err.Description <> "" Then
Err.Clear
End If
End Sub
Maybe is not the best way... but at least it works. Hope that it will work for anyone. And If someone knows a better way please let me know posting it here.