Arpeggios are broken chords, or chords played with single notes instead of as a whole. Example:
C major chord = C-E-G
C major chord arpeggio = C, E, G
To practice using arpeggios, just take any chord and practice playing the notes broken up. So, start with that C major chord above and do it like this:
/ C
/ E
/ G
(repeat, keep going up until u can't go anymore)
then, come back down with it:
/ G
/ E
/ C
(repeat, keep going down until u can't go anymore)
After that, play the C minor chord and repeat the above process. After you've played all the chords u want in C, go to the next key and do the same thing.