You have to do all of the storyline quests that precede the Grand Arena. Check your Quest list for open quests in Krokotopia. Otherwise, you can try talking to Sergeant Major Talbot at the Oasis, or Shalek the Wise at the Entrance Hall to the Krokosphinx. If Shalek has nothing to say in the Entrance Hall, you might go inside the Arena and see if he has anything to say in there.
