Hopefully you have installed Arena on your Windows machine. If not, please visit Arena's website. Start up Arena as you usually do. In the top menu, select Engines -> Manage and then press the New button. You will get a file dialog box where you're supposed to select a native engine. Instead you select plink.exe from C:\putty. In the next dialog you must state if this is a UCI or Winboard chess engine. Select the proper option. For stockfish it should be UCI. I get a PLINK engine listed in the list of engines. In the General tab, you can change the name to something more appropriate than PLINK, let's call it "Stockfish (Linux 64bit)". Put in the authors names in the next entry box, but leave "C:\putty\plink.exe" in the Command Line entry box.
In the Command Line Parameters you should add:
-ssh oystein@thelinuxbox "stockfish".
Addition by Martin in 2013: The following parameters worked here:
-l oystein@thelinuxbox "stockfish".
The engine management dialog should then look like this:
For using the opening book, you can load that through the UCI dialog box. In the Arenas Engine menu select the engine specific menu, like "Engine 1 / Stockfish Linux 64bit" and then select the Configure option form this sub menu.
In the Book File entry you can add the engine book. Remember that this is the linux environment path, such that you should type in /usr/local/share/Book.bin. Like this:
As you can see, you can also set any other UCI option in this dialog.
That's it! You should now be able to use the engine running on the Linux machine and having just the the Arena interface running at the windows machine. Good luck in your games!
As a closing note: This method of running engines is not limited to Arena and and Linux. You can probably run the engine on any other system that has a ssh server running. It is probably possible to use an other interface than Arena also. It is even possible to run other things than chess engines through secure shell. (You can even have X Windows based applications running over ssh). Try for example: plink -ssh oystein@thelinuxbox "cal" and the calendar program will be executed on the linux machine.
If you have any questions or comments, you may contact me at firstname.lastname@example.org.