The example you mentioned contains a present perfect tense (which roughly corresponds to passato prossimo in Italian). While English uses to have as auxiliary verb, in Italian you have to choose between avere and essere. In some cases you can use both, but generally speaking there's only one correct auxiliary for each verb.
In your sentence, for example, the usage of avere ("Abbiamo appena arrivati") would be considered a mistake, because only essere can be used with arrivare.
How to choose between the two?
As a rule of thumb, you use avere with transitive verbs, that is, verbs that can take on a direct object.
Ho ascoltato una bella canzone. I have listened to a nice song.
Ho bevuto una birra. I have drunk a beer.
You use essere for intransitive verbs, that is to say verbs that are usually followed by a preposition:
Sono andato al cinema. (andare a) I have gone to the cinema.
Io sono stato in America, e tu? (stare in) I have been to America, and you?
For impersonal verbs:
È accaduto qualcosa di stupendo. Something wonderful has happened.
Foe reflexive verbs or verbs that are preceded by a pronoun:
Mi sono levato il cappello. I have taken off my hat.
Mi sono fatto male cadendo dalla bici. I have hurt myself falling off my bike.
Le è andata bene! She was lucky! [It has gone well to her]
In the passato remoto, the action has already finished. It's used for both the English present perfect and the simple past tenses. The present progressive is constructed by adding a suffix (-ando, -endo) to the root of the verb, and by using the auxiliary stare.
Siamo arrivati = passato prossimo; the action is finished
Stiamo arrivando = gerundio (present progressive); the action is happening right now
Hope this helps! :)