I use Photoshop, but you can also try out a free program called Jing. Jing lets you take screenshots from your screen, whichever size you want and then automatically pulls up an editing screen where you can place arrows on the image. They even host the image for you if you want so you can send clients the URL without having to attach it in an email or something.
there are some arrows and lines under the custom shapes tool... if those dont work your pen tool should be able to do the trick.