Are you following the instructions from Steve H's TNT1 tutorials?
There a couple of great ways to use the arpeggiator, if you haven't already, take a look at the TNT series 1 as IMHO explains the best killer setup for an arpeggiator.
In the Environment, say Mixer layer...
- New > Arpeggiator
- Connect the Arpeggiator's cable to the software instrument channel (ES2, EVP88, etc)
- Create a new track in the Arrange and select it.
- Back in the Environment using the MIDI thru tool, click on the Arpeggiator.
- Back in the arrange, make sure the new arpeggiator track is selected.
- The transport must be running for the arp to work, so press play and hold down some notes!
Let me know if this works for you.