I have no experience using MS, as I use VP, but the way I'd do it in Vegas is to get a png or gif image of the circle or arrow (.psd will work too) that has a transparent background, so that when I drop it on the timeline there isn't a white square around the arrow or circle, the video just shows through. Then go into the track motion for that track and set keyframes using the timeline at the bottom of the track motion window. So, for instance, if the player walks at an even pace from the left side of the screen to the right, I'd make one keyframe at the beginning with the arrow aligned with him on the left side of the screen, another at the end with it aligned with him on the right. Vegas will fill in the movement in between the keyframes. It may not be perfect, if he slows down or speeds up any, or changes direction, the arrow won't follow him accurately and you will need to reposition the arrow and set a new keyframe when it falls off sync with him, each time it does. The more complex the player's movements, the more keyframes you will have to add to track their movement. You can also use the track motion to adjust the size of the arrow, or which direction it is facing (by scaling it -100% in the horizontal direction). All of this movement can also be keyframed for dynamic size and movement effects. You could have the arrow appear to zoom into the scene (if it's high enough resolution) by scaling it huge on the first keyframe, and a second or so later scaling it down to normal size and setting another keyframe. This keyframing concept, if you aren't already familiar with it, can be used across pretty much any effect in vegas to alter the parameters of the effect over time.

Another method would be to take a solid color or gradient, drop it on the timeline, and then draw a mask around the solid square/rectangle of color until it looks like an arrow or ring, then do the steps above to keyframe the motion in. It would be quicker to just grab a pre-made image online or draw one in photoshop, though.