Matt Bird writes all sorts of nonsense, but he dedicates a large chunk of his time to writing game walkthroughs.
After trying gallantly to save a little girl in St. George's Church, you are knocked out by a couple of absolute jerks. When you wake up, you'll discover all your stuff is gone - and the jerks are about to subject you to a gauntlet of zombie encounters, each more difficult than the last.
As soon as your cage rises, sprint towards the bird bath in front of the nearest zombie and grab the Handgun and Handgun Ammo, and check the truck nearby for two more packs of ammo. The cages here will rise, and you'll have to kill three SWAT zombies - without your trusty Cricket Bat. Grab the ammo, lure the zombies into a pack, then use the red gas canister on the ground to blow them up in one go. Be careful not to get fried yourself! If any are still alive, use your gun to knock their helmets off. It's a waste of ammo, but it works.
Once the first swarm is down, two more zombies will appear: one SWAT and one exploding. Get away from the church and shoot the exploding zombie as soon as it drops down to take them both out. Three more SWAT zombies and another exploding zombie will show up; lead them around, then shoot the exploding zombie when it's in a convenient spot.
You now have a short breather. Check the door in the fence behind you to get Handgun Ammo and a Flare, then check behind the doors in the church for a Large Medipack and Handgun Ammo. Next, run inside the large area that's just opened up, go up and onto the bus, and grab the Handgun Ammo and Mines waiting up here. By now the zombies will probably be loose; lure them to a convenient spot, lay down a mine, and let them blow themselves up. The gate into this second area is a good place, especially if you hopped off the bus to escape the zombies.
(Hint: If you want a few seconds to look around and recover, it's possible to shove zombies off the bus and get them stuck on the scenery. Push towards the lamp post at the end of the bus nearest the boxes. If you're lucky, your zombie will become wedged there for a while.)
Killing this lot will release yet another wave. You have a few more explosive canisters nearby, as well as another mine; use what you want to get through this part. Afterward the men and women behind this little attraction will become zombie bait of their own, and you'll have to face two more zombies before you're given the chance to hit the 'fun' button near the exit. Doing this will release a ton of zombies. Immediately throw a Flare to distract them, then dash past them to grab your now-larger backpack. Run back to the church and check to the left of it for a locked door. Pick it open and flee down into the sewers, towards the Safe House. Be careful down in the tunnels - there's a red zombie lurking here with a Capacity Upgrade that can ruin your day.
(Note: Once the lunatics behind the Arena are dead, you are basically done with the Arena. You can die and wake up back in the Safe House, rather than appearing in the Arena's cage each time. You will, however, have to make a trip back to the church to get your things, if you want what you were carrying in the Arena.)
After you've saved, go back to the Arena. It will now be cleared of zombies, so you can look around the back where you found your Backpack. Through another locked door is a container filled with everything you were carrying and some Sub-Machine Gun Ammo. On the wall is a fantastic new gun, an SA80A2 Assault Rifle. On the floor are two boxes of Assault Rifle Ammo and two Flares.
Once you're back in the Safe House, you'll discover that Prepper doesn't really have any missions lined up for you. He seems rather disgusted by you in general, these days. You'll have to give yourself a new mission - and that's finding the rest of the Letters of Dee for Dr. Knight.
Can't get out of the Arena? You aren't alone. It's an extremely tough area. In order to survive, you need to be able to both strafe and shoot, skills that you may not have used much so far. Your key to getting past the place is to make the absolute most of the explosives in the Arena - without them you'll run out of bullets trying to knock helmets off SWAT zombies. Be careful, though, as one poorly-positioned explosive can kill you, too.