The term "Arrow to the Knee" is an inside joke in the game The Elder Scrolls V: Skyrim
It comes from the fact that many guards, when speaking to you in towns, will tell you that they used to be adventurers just like you, but then they took an arrow to the knee. This will often be told in a thick, Schwarzenegger like, accent.
Because you run into guards a lot, and they say this phrase all the time, this makes it sound as if all guards were once adventurers just like us but then took an arrow to the knee. Or that there is some serial archer who shoots arrows in the knees of adventurers, turning them all into guards.
The original quote is "I used to be an adventurer like you. Then I took an arrow in the knee..."
But somehow the quote got twisted and instead of saying "Arrow in the knee", it is now more commonly used with "Arrow to the knee" probably due to it fitting into more sentences