If your health is going down, it means something is attacking you. (Or you're poisoned, but you can't get poisoned in the starting level.) It's VERY easy for enemies to sneak up on you in this game, so:
1. LISTEN. You will usually be able to hear when there is an enemy nearby, and you will always be able to tell when you get hit.
2. LOOK. More specifically, look behind you. A lot.
Did you do all the steps in the 'how to run Arena' thread? If you didn't fix your framerate, the game is pretty much unplayable.