Here's a little guide on how to find the three Arnies:
1: Arnie #1 is pretty easy to get, as he's up at the top-left area when Mario is coming out of the pipe.
2: Arnie #2 is located in one of the pipes, in that one pipe a Piranha Plant is in. As soon as it's about to go offscreen, Arnie will pop out.
3: As for Arnie #3, when the movie's over, on the screen where there's stuff like "Go to VGDC" and "Replay Movie", if you right click and press Play, Arnie #3 is there.
I hope this was helpful.