Best option: As steveastrouk said. Another option: Get an USB cable, cut it and supply +5VDC on the red (+) and black (-) wire you will find to the USB-B side. Of course do _NOT_ supply any voltage to the PC. The voltage has to be regulated. Disclaimer: You do it on your own risk. I do not own any Arduino, nor ever tried what I told. (But it should work)
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WHICH Arduino ????Some have a power jack, some you can inject it in via the shield connectors. Look it up.
+1The model is important. When I think of an unqualified Arduino, I think of a Duemilanove. Per the Arduino site (http://arduino.cc/en/Main/arduinoBoardDuemilanove), on a Duemilanove you can supply power through the power jack (2.1mm center-positive plug/jack) or through the GND and VIN pin, preferably with a 7-12 volt power supply. As Steve said, however, it really depends on which specific model you have.