A few years ago, Microsoft introduced a media streaming layer on top of DirectX that was meant to handle pretty much any type of media you could throw at it, called DirectShow. As with DirectX, the DirectShow API is accessed through COM interfaces, so I assume from the start that you have at least a basic knowledge of COM and how it works as far as getting pointers to the interfaces you need and releasing references correctly. Arrows connecting boxes represent the output of one filter being passed to the input of another filter.
Arrows also show the flow of data in the graph.
GraphEdit is nice for those just getting started with DirectShow, as it gives a nice visual equivalent to what you'll be doing in software. GraphEdit also lets you drag filters around, connect them to other filters, and to run your final complete graph. Each graph that is built follows certain guidelines. First off, there needs to be a source filter. This is the initial source of your data, be it a file, a URL for streaming media, or some device such as a firewire card hooked to a video camera.