I have tried following internet help but cant turn off annoying shield icons in windows 10.

What do you mean by 'shield icons'?

On some of my icons windows 10 puts a shield icon on it.

It means they are running with compatibility settings or set to run as administrator.
Unfortunately I doubt there is a way to stop it showing...

He means "run as admin" icon.

iestyn - turn down run as admin option in propreties of shortcut.

I don't use Windows 10 but I'm guessing that shield might be to indicate that the shortcut has the "Run as Administrator" option set. In that case you should be able to right-click on the shortcut and uncheck that option in the shortcut properties (maybe under the Compatibility tab - not sure if it still works like that on Windows 10). Occasionally a game might need to run as administrator (for example, if the game writes data to its install directory and happens to be installed in Program Files) but usually it's far better to run everything as a normal user.

The shield icon is a UAC icon, as others have said its to say that the program runs as admin. You used to be able to create an elevated shortcut or disable UAC to remove it but since 8.1 neither really work anymore.

There are two ways:

1) Use WinAero Tweaker. http://winaero.com/comment.php?comment.news.1836

Or

2) Modify the imageres.dll file so that the icon is transparent:

Copy imageres.dll out of C:\Windows\System32\ to work on it
Open it with Resource Hacker ( http://www.angusj.com/resourcehacker/ )
Navigate to "Icon Group" 78 and right-click to "Save *.ico resource"
Open the saved (shield) .ico with IcoFX ( http://filehippo.com/download_icofx/6890/ )
Ctrl+Q to reduce opacity to -99 (not -100, lest they appear as black boxes)
Repeat for each of the icon sizes except 16x16 (where it comes in handy in context menus)
Save the .ico and exit IcoFX
Back in Resource Hacker, right-click 78, this time clicking "Replace Icon"
Click "Open file with new icon", select your edited shield .ico, and click "Replace"
Save the edited imageres.dll and exit Resource Hacker
Take ownership of the original, System32 imageres.dll, as well as the one found in SysWOW64
Rename them both to imageres_original.dll or similar
Copy your edited imageres.dll to both System32 and SysWOW64
Rebuild the icon cache, and behold, your shortcuts are shield free!

Both are risky, so only do it if you feel comfortable editing system files. SysWOW64 only appears in 64 operating systems. Both should work in any newer version of Windows.

Also both are done at your own risk, and option 2 will cause a SFC scan to find "corrupt" files.

Are you installing to Program Files or Program Files x86 or any of the other folders under windows? If so don't, always install games and other software outside these folders (i create c:\games) as Windows UAC can interefere.
If you do that and it still comes up, try checking compatability settings. I know some have been set to require admin rights - there is another thread on this somewhere.