Arena comes with a Help module that will answer many, but certainly not all, of your questions.
The Arena 3.5 setup file comes with eight engines, but only one of those engines (Rybka 2.3.2a) can be run at less than full strength. But even with the Rybka engine, it only goes down to 1200 elo, and imho, it's a strong 1200 at that. (Probably more like 1350 to 1400).
So yes, all of the stock Arena engines will be too strong for your son. For your son to use Arena as a sparring partner, you'd have to find, download, and install another engine that can play weaker than Rybka's lowest setting. I can help you with that task if you want to go down that road, but you'll have to learn how to install and configure the new engine into Arena.
If installing extra engines into Arena sounds like too daunting of a task, your other option would be to just download a copy of Lucas Chess. It contains a lot of engine personalities out of the box that can play at a very weak level, and I'd think it would be easier for your son to use if the idea of installing extra engines doesn't appeal to you.
http://www-lucaschess.rhcloud.com/index
The Arena websites states that:
"Arena has an easy-to-use and configurable interface. Adjust Arena according to your personal preferences!"
Can someone explain to me how to do this? The default setting seems to be set to a challenging difficulty level. Also is there a way to set a computer closer to my son's level of 845 rating? Lastly is there a manual, book or website that explains the Arena 3.5 game better?