As a rule of thumb, you shouldn't redistribute anything that doesn't come with permission to do so, or that you haven't asked and received permission for from the author.
A font like Arial shouldn't need to be redistributed anyway, as it's already installed on everyone's machine. I'd generally say it's better to use standard Windows fonts in skins anyway, unless you're creating a skin with a very specific look to it, as the standard fonts are optimised for display at small sizes on a screen. Most fonts you'll find elsewhere, aside from things such as 'pixel fonts', are generally designed for use in print or at larger sizes.
