The Arnold section in the Preferences window (Edit > Preferences...) contains global application level settings.
Arnold in Main Manu Bar
DLL Search Path (Windows)
Third-party Arnold plugins (shader, procedural, volumes) can have DLL dependencies on Windows, which have to be loaded when using the given plugins in Arnold. List folders here which contains those DLL dependencies. Environment variables can be used (e.g. $MY_ENV_VAR).