Unwanted shadow created when I "Save As" static cursor.

Getting rid of an unwanted shadow.

I made a static cursor that resembles the crosshairs in a gunsight. I did not use the Drop Shadow tool in creating the cursor, however, when I saved what I had made a shadow appears. In the Preview window there is no shadow.
Never had this happen before in previous versions, but this is v.2012.1 so maybe I missing something.

Any help would be greatly appreciated.