What version of Premiere Elements and on what computer operating system is it running?
The generalized answer would be to place the graphic of the circle or arrow on the track above the video on the lower video track and then keyframe the Motion position property of the circle or arrow in the upper track to follow the player in the video in the lower track.
You could also look at other ideas, including a freeze frame - arrow approach
Please review and consider. Any questions or need clarification, please do not hesitate to ask.