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).
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?