I kept seeing this kind of screenshots on this site. 

Please, can someone tell me what program or application is used to put this red arrow?

Windows Snipping Tool

Lightshot

I responded to you in the other topic:

 

Also Snagit. I've been using it for years.

My vote for Nimbus. Cannot live without anymore.

I‘m using https://cleanshot.com on the Mac. 

Another for snagit 🙂