Arpeggio Play
An arpeggio is one of those techniques that can sound more complicated when listening to it than they are to play. What they involve is making your chord shape on the neck and playing the strings it uses one-by-one. There is no rule as to what order you should play these strings until you play someone else's songs, so the best way to get used to the technique itself is to choose an easy chord like D and make your own.
An example of a fairly simple arpeggio is Heart Shaped Box by Nirvana as it uses 3 string 'power chords' in a simple order. A pretty fiddly one is Street Spirit (fade out) by Radiohead as the string pattern is complex and you make left handed adjustments to parts of the chords as you play the arpeggio.
Very Important: When playing an arpeggio you need to get bearings and the most stability possible for your right hand, this can be achieved by resting the side of your wrist on the string bridge or somewhere on the body of your guitar- like a hand rail in the dark.