Your question is a little misleading, so let's make sure we are on the same page. :)
There is arm strength, which I assume you want to know about, and there is arm speed. Two totally different things. Arms speed is what is responsible for velocity. Arm strength is the actual strength of the arm. Simple enough? Yes and no.
Arm strength breaks down into muscle strength (power) and stamina. As far as building strength, there are a good amount of exercises that go along with weight training to build strength in the elbow, shoulder, forearms, wrist, and fingers. When these muscle groups in the arm are "loaded" (my own term for a good blend of power and stamina) then you have an explosive force to work on mechanically.
Now, there are different ways to build all this up, but it helps to know if you are an infielder, outfielder, or pitcher. Throwing styles are different for all three. Infielders usually have quick and compact throws, often throwing from a crouched fielding position, while running forward, staying low and charging a ball, or off-balanced if fielding and throwing quick in the hole. Outfielders usually get a chance to get a "crow hop" while charging a base hit to them, or camping out under a fly ball. Pitchers, however, are in their own class, and rely on a very precise and methodical synergy of mechanics, momentum, and muscle movement.
There are lots of exercises to build muscle groups relevant to throwing. Ask your trainer, coach, or workout buddy to work on weight training exercises that focus on building the muscles of the biceps, triceps, deltoids, forearms, wrists, lats, and pecs. Leg strength is important, as a lot of momentum is delivered through the lower body, so don't neglect legs.
Long toss is a popular exercise for building stamina in the arms, and I highly recommend it. I do not condone the use of weighted baseballs, as they put a lot of undue stress on the tendons and ligaments in the elbow.
Do some research with weightlifting trainers and determine a workout to build arm strength and stamina. Once there, you can begin working on the mechanics of momentum to build arm speed and velocity.
Remember also to ice your arm if it gets sore. Taking care of the cannon is a responsibility you don't want to neglect.