Originally Posted by: christheoneCould someone please Explain to me what an arpeggio is, how it works, and why we have them etc

First look at this lesson on inversions so you can start to visualize all the shapes possible to use in arpeggios:
http://www.guitartricks.com/tutorial.php?input=148

Then look at this one on triads to see the "basic unit" of the chord that will get built into arpeggio patterns:
http://www.guitartricks.com/tutorial.php?input=389

Then look at this "starter kit" on arpeggio sweeping:
http://www.guitartricks.com/tutorial.php?input=408
(Thanks for the mention light487! :) )

Finally here's where it all comes together in the advanced application:
http://www.guitartricks.com/tutorial.php?input=211

Hope this helps. Let us know how it goes!