Here is a quick way to start: Go the BrightScope.com homepage. Type the name of your plan "Arthur Andersen LLP" in the search box for retirement plans. You should be able to get the name and phone of the administrator. I would call them first. There is a very good chance they will be able to look you up by your social security number and tell you the next steps.
If that fails, DC's answer gives you some additional steps you can take.
The best course of action would be to try to track down some old documentation on the plan if you have any. By doing this you might be able to identify the company that is maintaining your plan and give them a call. If that company is still around they should be able to help you as long as the plan is still intact.
There is always the possibility that the assets from the plan were dissolved once the company collapsed in 2002 also. That will depend mostly on what type of plan it was though.
If you run into trouble tracking this plan down, find a local fee-only advisor and consult them on what to do. If you give them all the details, they might be able to assist you in getting further information on your plan.
Cynthia, you can look on the main BrightScope page and enter the employer name in the Retirement Plan Search box. You can click on the tab that says Form 5500 Data for the name and contact info on file for the plan administrator. Check with them first. If the info is incorrect (sometimes that happens when companies change hands) ask them where to find the right info. With a little research, you can locate your plan and see what assets may be available to you. Good luck!
If the above recommendations do not work, the Pension Benefit Guarantee Corp has produced the following document providing guidance. http://www.pbgc.gov/documents/finding-a-lost-pension.pdf
All good answers... If all else fails, James Kinney has provided you with the link to the PBGC above.
Best of Luck,