You can add the arrow by writing a custom ActionBar style to be used with your application theme.
res/values-v11/styles.xml: (or add these to your existing styles.xml)
<?xml version="1.0" encoding="utf-8"?>
<resources>
<style name="MyTheme" parent="@android:style/Theme.Holo.Light">
<item name="android:actionBarStyle">@style/MyActionBar</item>
</style>
<style name="MyActionBar" parent="@android:style/Widget.Holo.ActionBar">
<item name="android:displayOptions">showHome|homeAsUp|showTitle</item>
</style>
</resources>
Then apply this theme in your AndroidManifest.xml:
<application android:theme="@style/MyTheme">
Note: The obvious way to add this arrow should be to call:
getActionBar().setDisplayHomeAsUpEnabled(true);
once the second screen has loaded, but I think there's an Android bug where getActionBar() always returns the first-tier ActionBar object, as opposed to the one that is currently visible, so setting the arrow dynamically fails.