after you have loaded your fancybox style sheet
<link rel="stylesheet" type="text/css" href="jquery.fancybox.css"
media="screen">
below add the following lines into your <head> section:
<style type="text/css">
span#fancy_left_ico {left: 20px;}
span#fancy_right_ico {right: 20px;}
</style>
it will make visible the arrows.
if you want something more elaborated then you would need to edit the
css file (of course, you have to be sure what you would be doing)