Detecting the collision of a circle and a rectangle is anything but simple. Here's a C++ example class that does this kind of test (source with plenty of other intersection test examples). There's also an answer on SO that only shows pseudo-code. The N+ developers also explain their approach to circle vs rectangle collision detection. If any of this seems too much for you, you're hereby advised to look for a simpler approach. ;)
For example, since you mentioned "arrow" that implies a pointed, thin object that tends to fly relatively straight in one direction, with the arrowhead always being pointed in the direction of flight. If that is not the case, I may be have been living on a different planet, otherwise I'll use this assumption.
It means you can very easily change the collision type of the arrow from rectangle to circle. The circle only needs to be as big so that it encloses the arrowhead. Depending on graphics and your game design it may be even sufficient to have a collision circle at the very tip of the arrowhead. Then you can implement Joshua's suggestion of circle vs. circle collision tests.
An alternative for very thin arrows would be to assume the arrow to be a line, then you can work with a reasonably simple line-circle intersection test.