I don't think there is a full game analysis feature in Arena, only infinate analysis. Most popular commercial (if not all) chess engines has the full game analysis feature.
Analysing games with Rybka and Arena
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I put the PGN file of a game I played recently into Arena (engine was Rybka 2.x) but I cannot seem to work out how to analyse it. Pressing the 'Analyse' button starts looking at variations for the first move and I have to go through it manually (with no comments or +/- scores for the moves or positions). What have I done wrong?