I give a whole step-by-step process for setting up Arc on Windows XP at http://www.arclanguage.org/item?id=12397. This link actually appears on http://sites.google.com/site/arclanguagewiki/, but it's okay if you didn't read that far down. :-p
By the way, I committed a 'setuid fix to Anarki a while ago, and unlike the fix above, this version of 'setuid should still work as usual on Linux: https://github.com/nex3/arc/commit/3201b34f3ed89e6305b0d9906...
Works great.
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