Lars,
An arrow style is not too tough. You need to use the StartCap and EndCap property on the Geopen. I have included a few lines of sample code to show you. From the code you can see it can be used directly on the LineStyle. Also there is a picture to show you what it would look like.
mapShape4.ZoomLevels.ZoomLevel01.DefaultLineStyle = new LineStyle(new GeoPen(GeoColor.StandardColors.Red, 14));
mapShape4.ZoomLevels.ZoomLevel01.DefaultLineStyle.OuterPen.EndCap = DrawingLineCap.ArrowAnchor;
mapShape4.ZoomLevels.ZoomLevel01.DefaultLineStyle.OuterPen.StartCap = DrawingLineCap.ArrowAnchor;
