Sorry, I'm not sure what it is you're trying to do. As far as I know, highlighting squares with a color in Arena has nothing to do with analyzing games.
But I don't think you can highlight just any square you want in Arena. You can highlight the squares of attacked pieces, and you can highlight the last move and next move, but not any arbitrary square of your desire (as far as I know).
That's exactly what I'm trying to do: highlight just any squares I want for analyzing prpuses. Is there an opion in Arena for that or is there another GUI that does that?
The only GUIs that I know of that can highlight squares of your choosing are Chessbase GUIs (Fritz, Chessbase). I think you can choose either yellow, green, or red. (Also arrows, if you like.)
If you want to try out the highlighting feature in a Chessbase GUI before buying, the free Chessbase Light and even the freeware Fritz 5.32 GUIs also do that.
Wait...I think this question came up not long ago, and someone else knew of another GUI that also did this...Either that, or I dreamt it. 
(Maybe try searching the forum for a similar thread?)
Hey thank you EscherehcsE it works with Chessbase Light.
Here is how if anyone else is interested:
Green square – hold down the ALT key and single-click on a square
Yellow square – hold down the ALT and CTRL keys simultaneously and single-click on a square
Red square – hold down the ALT and SHIFT keys simultaneously and single-click on a square
Green arrow – hold down the ALT key and drag the mouse from square to square
Yellow arrow – hold down the ALT and CTRL keys simultaneously and drag the mouse from square to square
Red arrow – hold down the ALT and SHIFT keys simultaneously and drag the mouse from square to square
Hey thank you EscherehcsE it works with Chessbase Light.
Glad I could help! So you actually found the secret key combinations? You must be the one in a million who actually reads the help files! (Well, at least one in a thousand...) 
Thanks--I didn't know about this.
Hi I've been using Arena 3.0 as my GUI with Houdini and I wanted to know if there was an option for quick analyzing a game by highlighting more than one square with a color?