Take a look at the project preferences. Under "Start and End" you should see an option for Auto Play. Select that, and the project will start automatically without requiring the user to click the arrow. Alternatively, you can keep the arrow and choose an image to display.
See this link: http://helpx.adobe.com/captivate/using/projects-project-preferences.ht ml#define_how_a_project_starts_and_ends