This is more of an educated guess than anything (different cars). I just did the filter on my S320 this weekend. The arrow appears to indicate fuel flow direction. So trace the fuel line from the fuel pump discharge to the filter and you have your answer.

On my car that meant that the filter arrow points to the rear of the car.

An obvious question would be this. Do you not have an existing filter installed. Just look at that the orientation of existing filter.

Steve