How to set font to Arial throughout the entire document?

Arial is not installed in TeX Live, I'm not sure about MiKTeX. You can use helvet package instead.

\usepackage{helvet}
\renewcommand{\familydefault}{\sfdefault}

If you use XeLaTeX or LuaLaTeX, you can use TrueType Arial font installed in your Windows/Mac:

\usepackage{fontspec}
\setmainfont{Arial}

In Ubuntu, Arial can be installed by a Synaptic Package named ttf-mscorefonts-installer.

use it this way:

\documentclass{article}
\usepackage[english]{babel}
\usepackage[T1]{fontenc}
\usepackage{uarial}
\renewcommand{\familydefault}{\sfdefault}
\usepackage{blindtext}

\begin{document}
\blindtext
\end{document}

but you must have the package called uarial not arial. If you do not have this package then install it with getnonfreefonts --sys -a: http://www.tug.org/fonts/getnonfreefonts/. The script was part of TeXLive until the 2009 version. Ubuntu users should have it already installed.