Your code shows a circular spiral because you punch in a circular spiral. Try e.g.
\documentclass{article}
\usepackage{tikz}
\begin{document}
\begin{tikzpicture}
\draw [rotate=-45]
plot[domain=0:25.1327,variable=\t,smooth,samples=75] ({\t r}: {0.002*\t*\t} and {0.004*\t*\t} );
\end{tikzpicture}
\end{document}

And to add the axes and the arrow, you could use
\documentclass{article}
\usepackage{tikz}
\usetikzlibrary{decorations.markings}
\begin{document}
\begin{tikzpicture}
\draw[-stealth] (-3,0) -- (3,0) node[below]{$x$};
\draw[-stealth] (0,-3) -- (0,3) node[left]{$y$};
\draw [rotate=-45,postaction=decorate,decoration={markings,
mark=at position 0.93 with {\arrow{latex}}}]
plot[domain=0:32,variable=\t,smooth,samples=75] ({\t r}: {0.002*\t*\t} and {0.004*\t*\t} );
\end{tikzpicture}
\end{document}
