It's not in the right place. You put it next to the code file, but source code doesn't run in place. What runs is the executable file. You need to put the font next to the executable. If you don't know where that is, recompile it and pay attention to the output.
Also, IDEs can sometimes screw with the working directory for various reasons, so if that doesn't work be sure to try running the .exe directly (ie, double-clicking on it).
For the record, arial.ttf isn't a free font, so you'll want to use something else in your final product. I know it doesn't matter now but the sooner you know the better.