What Outlawmws said, or:
1. Wrap a semi-thick strip of leather or rubber around the arbor and grab it with a pair of pliers or Vise-Grips, then use a wrench on the nut. An old leather belt or doubled-up inner tube should be sufficient. This assumes the stuck nut is just a little more than finger-tight and not seriously stuck.
2. Put the wheel back on the other side so you can hold on to it while you remove the stuck arbor nut. Just snug the nut on the wheel side. That should be enough to hold it, yet loose enough that you'll be able to take it back off if you're wanting both sides clear for bearing replacement or painting or whatever. This one also assumes the stuck arbor nut isn't seriously stuck.
3. Take a scrap of 1x2 or 2x4 wood about a foot long, drill a 1/2" hole (assuming that's the arbor diameter) in the face near one end, cut it in half through the centerline of the hole, then put the resulting two halves around the arbor. The saw kerf will have reduced the hole width sufficiently so that the two pieces will sandwich fairly tightly on the arbor with a C-clamp.
Alternatively, you could try a strap wrench if you have one, but I'm guessing you don't, and strap wrenches generally won't grip small diameter things very well anyway, so it's not even a good justification for buying another tool.
