I've been trying to make exploding Arrows. I read you have to tick a box marked 'Explode on impact' when editing it, but i cant find it in the edit section, so i can only assume im looking in the total wrong place.

It's in the Projectile definition (Special Effects > Projectiles) - make a new projectile as a copy of the one you want, then click explosion and add the explosion of your choice.

This is correct, pick any arrow object and look at is properties. It references another file that describes the physics, dmg, etc. There are fields there for effects like explosions and such.