To play as the goalkeeper in the arena you can either edit your Virtual Pro's position to make him a Goalkeeper or go to the arena and press then choose select sides and put your controller icon on the side of the Defending Side. Now make 10 saves and don't go to the Main Menu, change your training type or leave FIFA 11 or your save count may be reset to zero. To dive as the Goalkeeper you move the in the direction you want to dive but even if the ball is shot straight at you it still counts as a save so don't think that you have to dive to get credited with a save.
You have an infinite amount of time to make the 10 saves but if you are struggling you can connect a second controller then press on the first controller, go to 'Select Sides' then move the second controller icon to the attacking side. Now the second controller is the shooter so you can hit slow finesse shots (default controls + ) at goal allowing you to make easy saves with the first controller (i.e. the Goalkeeper).