The video explains the following much more clearly but just give you an idea what it's all about.
In essence an arpeggio is the notes that make up a chord but played in a sequence, rather than all at the same time. A simple chord would be a C major and this is made up from notes 1, 3 and 5 of the major scale. Played simultaneously you get a C major chord, played in a sequence you get the C major arpeggio!
If the keys player in your band is playing a C major chord, then a Dm7 for example, we can create bass lines that use the notes that make those chords up. If you spend a little time in practice getting to know this stuff, it will become an almost instant process and you'll be able to work through chord sequences throwing lovely lines in "on the fly."
Arpeggios are also a great place to start if you're looking to getting into playing walking bass lines!
Lesson notes here.
Have fun with this: