The manual for Arena gives and example of running a specific file like this:
Arena -software -exp c:\NewArena\test.def
To execute that in MediaLab you would use the Executable items type, listing "c:\arena\arena.exe" as the file (or whatever the full path of the arena.exe file is).
Then in the parameters field, you would enter:
(c-exp c:\NewArena\test.def)
The c parameter tell MediaLab that these are the command line options you would like tagged on when it calls the exe file.
As for MediaLab to getting a hold of the data gathered by Arena and writing some of it automatically to the MediaLab data files, that is not currently possible. At least not unless the other program has some option to make its data available to other programs.