This is really basic stuff. You'll need a layer with an arrow on it. It can be an image or a shape, or a masked solid. Then you position it, set in and out points, and animate the position.
If you haven't gone through at least a little of the Getting Started materials HERE then you should.
not understood, but I imagine export it to flash
…export to flash???
Now I really don't know what you're trying to do. Are you trying to create a hot spot on your video that's a hyperlink (link to a website)? If so, then AE is not the right app for you.
Maybe you are looking to do this, either a finger or mouse pointer,