hmmm...I did the SP1 update, and still have all of my Arial fonts. Did you check (or reinstall) the font through the Bitstream Font Navigator? I have only recently played with the font folder in XP - and it seems to behave unusual compared to other Windows releases...or it may just be me now noticing it...
In anycase, the font navigator is pretty helpful in getting the fonts moved around and associated with Corel and Windows. If the file is definately there, I am not sure what to suggest.