Step 1 - Preparation, and pen tool.
Make a document of any size. I chose 250x250, so if you want to follow exactly, choose that size. Click the pen tool, and then click again anywhere in the corner areas to make an anchor point.
Step 2 - Pen Tool Continued...
Once you have that anchor point down, click and hold the left mouse button somewhere that is in the opposite area.
Step 3 - Creating the Curved Line
Making sure your brush is set up appropiately (Check the brush size, make it 5-10px, and have it as the default circle brush,) you'll want to right-click on the line you just made, and hit "Stroke Path." Hit OK on the next menu that comes up, and you should have a line base.
Step 4 - Deleting the Path
With the pen tool still selected, right click and hit "Delete Path." This will give a clearer view of the line, which looks better.
Step 5 - Outlining the Pointer
Now make a triangle at the end of your line. It doesn't have to be perfect, just try to make it look good. See the image for reference.
Step 6 - Creating the Pointer
Right click with the pen tool selected, and hit "Fill Path." Then hit OK on the next menu, and then your arrow will be completed!
Step 7 - Additional Touches
This is optional, but if you want to give your arrow more depth, you can mess around with the gradient tool to give it a fade effect. Keep working with it to find your favorite connection.
End! Job well done! :)