Here's a tutorial to show you how to create some cool flying arrows like this.

Step 1: Creating
Your Arrows
Ok, first let's create some arrows using Adobe Illustrator! For
this tutorial I created an arrow like the one you see below.

Alright now to bring in your illustrator file to maya, go ahead and
save your file. Then when the the following options appear, tell it
to save the file as an illustrator 8 format. The
reason why is because Maya currently does not recognize illustrator
files older than illustrator 8.

Step 2: Import
Arrows into Maya
Alright now that we got those awesome arrows done, let's import
them into Maya! Go to Create -> Adobe
Illustrator Object options.

Select the Curves option

When it comes in you may notice the handle not centered on the
object. To correct this just go to Modify ->
Center Pivot.

Now convert your curve to a polygon object using which ever method
you like. My favorite is the Surfaces ->
Bevel Plus.

Step 3: Create Your
Path
Use the EP Curve tool to draw out your path that you want the arrow
to follow.

Now the next thing to do is line up your arrow to the path like
such....

Step 4: Animating
Your Arrow
Now we are going to attach the arrow to the curve by selecting your
arrow and curve then going to Animate ->
Motion Paths -> Attach to Motion
Path options
Now these are the settings that I used, but yours might differ
depending on which direction your curve and arrow are facing.

Once it's attached it'll look something like this...

Now we want the arrow to bend around the path so go to
Animate -> Motion Paths ->
Flow Path Object options.

Now your final result should be something like this.

