I clicked on a hundred arrows in the past 20 minutes, and I'm still lost. What can I do (except cry)?

each scene has something called a Coord (coordinate) , either on the scene, or under it, depending on which view you are using. the best first step would be to write down where you have been and try to make a map. it will be slow going, but you will get out eventually if you can rule out where you've already been! 

 

the other option is to use the live help button, that way someone can come and help you if you truly are stuck and can't find your way out

You either map it out yourself like what Syrian is saying, which can take a really long time, or ask someone for help on the forums as Live Help is now defunct, there is no way to reach anyone if you are a brand new player, or just wait and get eaten by the ever hungry Bull who roams around the Labyrinth. Your best choice is to contact someone from the forums or talk to people on the Island beforehand, that way you will have them in your inbox in case something like this happens.

Besides what Syrian and Lazarus said already, if you have access to Mood Panel feature, you can post there the coordinates of the scene you are stuck in. Just click < set your status >