Strongest engine that is available.
The latest version of Lucas Chess comes with Stockfish 7:
http://www-lucaschess.rhcloud.com/index.html
I mostly use Arena, but every GUI has its own fan base.
As I said .. you open the gui of choice and select the engine inside it.
If arena will not open, there has to be a reason. Did you get the windows version for a windows computer? Is your computer very old, should you get an earlier version of it? You can get them, try here: http://www.playwitharena.com/?Download
Once it is open, there is an engines tab, with easy to understand choices like install new engine or manage engines etc.
It comes with a handful of engines. I would focus on getting a version of arena to run correctly with the default engines. Then you can branch out.
Skip the windows emulator. You should be able to get the executable (unix people call them binary even though 100% of all files are binary) for linux and a GUI for linux. It will run better, getting more positions evaluated / second than it will under an emulator, and those emulators are fat and sluggish in general. Youll want it if you try to run real windows software, but you don't need it for chess, its overkill.
Linux isnt friendly in general. Given that you didnt know this much, you will want to start working on your unix skills if you insist on using it. Properly configured it can give a solid order of magnitude back to an old, ailing PC, but the default builds are as bad or worse than windows and figuring out how to compile the OS yourself is an excercise in frustration the first few times (unless you just compile it with defaults, defeating the purpose).
I apologise for the confusing double post but I didnt catch your OS until after.
The strongest free engine that's available is Stockfish 7, and the strongest commercial engine is Komodo 10.1. If you want to bypass all the frustration of installing stockfish, I'd recommend the program Lucas Chess, which comes with stockfish 7. Otherwise, you're going to want to install stockfish onto a separate UCI-compatible chess program.
Thank you though.
Stockfish is free and stronger than any human (dead or alive).
The only stronger engine on the market is Komodo, which can be purchased for download.
Both are over 3300 in strength. :-O
Komodo is a bit better at slower time controls, while Stockfish is a bit better at fast time controls.