XeLaTeX allows you to use fonts that are installed on your computer. On current versions of MS Windows and macOS, Arial should already be installed system wide. Hence, an installation of Arial is not needed. For other operating systems that do not come with Arial pre-installed, just place the font file in the regular directory for fonts on your computer as you would do to install the font for other software such as Office.
The following MWE works on MS Windows and macOS with XeLaTeX:
Just browse this platform for more concrete questions regarding the use of fonts with XeLaTeX. There are also several related questions on how to use Arial with LaTeX such as this one and this one.