Oh boy...
I will quote that for truth :P
Arena's are really the end phase of Modding... well "new" ones are..
-- 1 ----------------
Start messing about with component GMF's first like Click said...
Ram-plates, Super-volts or other rectangle prism components are the best place to start as they are very easy to understand...
-- 2 ----------------
Mess about with more advanced or multi object components
-- 3 ----------------
Learn Python coding (probably AI one first as they can be easier to understand in some parts)
-- 4 ----------------
Learn to use the Arena pythons and how they work
-- 5 ----------------
Learn mass object GMF's such as arena GMF's