Windows 8: How to get rid of "Switch between apps" prompt which won't go away

If you are using Windows 8, (which is a genuine GUI mess for those of us who don't have touchscreens), you may have an issue where a big arrow prompt which says: "Switch between apps"

If you can't get this to disappear, what you need to do is this:

Place your mouse cursor in the upper left hand corner of your screen.

It should be gone after a moment.