The arrow of time is a concept used because most of the laws of physics would be the same if the direction of time were reversed, yet we see many actions that never happen backwards, for example a plate may break but will not go back together afterwards.

The one big exception is the law of entropy. This is the principle that the amount of disorder in a system will increase with time. To use the plate example again, the broken plate has more entropy than it did before it was broken. So entropy can be used as an 'Arrow' to point in the direction time is moving.

Physicists postulate on the implications of time as an "arrow". The laws of physics are nearly reversible, but not fully because of the existence of known CP violations. These violations do not explain the second law of thermodynamics, especially since time evolution is still unitary (outside big bangs and black hole singularities...).

So, why do we have the second law of thermodynamics at all? The most likely state, if we were to assume the state of the universe is picked randomly from all possible states would be one where the universe would be nearly at a state of maximum entropy at all times, with minor fluctuations now and then and larger fluctuations being rarer. One standard explanation is that the initial state of the universe during the Big Bang was extremely ordered, and thus, apparently unlikely. It is unknown at this time why this would be so.