The Arial wikipedia article describes the licensing terms of Microsoft fonts. And, it also specifies free alternatives available that are metrically equivalent to Arial. Liberation Sans is a good choice IMO. Look at relevant wiki articles to know all the free alternatives available.
Most of the Windows fonts are licensed to Ascender corporation. They now provide license for software and hardware developers to use them. See Type Foundry: Microsoft for more information, and the fonts available.
In addition to that, if you go to right-click -> properties, there's a tab called license
. It provides the information about licensing terms as well.
When it comes to use of fonts like Arial in websites, I think it's allowed because the website itself doesn't embed the font, but merely specifies the font name. It's the browser that does the mapping. If you are talking about a stand-alone software, you need to have a closer look.