Search for online chess game collections. The files will most likely be pgn files. Download the collection that you are interested in. On your program of choice, you should have the option to create a database to store your desired game collection. When you have that file open, you want to look for a command that says something along the lines of " Import file of pgn games." Choose that option, and make sure you save your database file afterwards.
chess database for arena
None really because I don't know if Arena is the best program to use for a chess database and I honestly have no interest in finding out. My instructions were intentionally very general but designed to get the OP on the right track.

I was wondering if somebody could help me find a good database of chess games for Arena and walk me through installing it into Arena, Thanks!
Arena is okay for smaller games databases (personal games databases, etc.), but if you're wanting to use large databases (millions of games), I'd recommend a chess GUI like Scid or Scid vs. PC.
http://scidvspc.sourceforge.net/
I haven't used this games database for Scid/Scid vs. PC, but it looks promising:
I was wondering if somebody could help me find a good database of chess games for Arena and walk me through installing it into Arena, Thanks!