I play chess a lot against Arena (the GUI thing),
but I can't seem to castle.
The requirements for castling are met, just the castling itself doesn't work. I'm on windows.
For the record (adapted from my comment above): as with other such interfaces, if you move the King to its target square, the corresponding Rook will automagically land on the right square to complete the Castling. (A move like Ke1-g1 or Ke8-c8 can only mean Castling. Usually the computer will refuse the move if Castling is illegal for some reason.)