basicly arrepgio is notes of a chord, played one by one, instead of all the tunes together...
where do you used them?
well the simples arrpegio that i know is:

E-------------------
B-------------------
G-------------------
D-----------5--7----
A----4---7----------
E--5----------------

this arrpegio uses the A7 chord notes, it based on the A mixolydian mode, and you can find it in 90% of the rockabily songs... arrpegios are also widley used in jazz, and by people like blackmore (highwaystar) malmsteen, and vai.. they are great to use in solos, because it's like a ready line to use over a chord