Arsenal have never won the Champions League. The nearest they've come is runners-up in 2006.
The English Club that holds the title for most Champions League titles is Liverpool, who have won it 5 times (1977, 1978, 1981, 1984 and 2005).
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Technically, Arsenal have never won the Carling Cup as the League Cup has only been called that since Carling started sponsoring the competition in 2003.
Arsenal have won the League Cup twice, in 1986/87 and 1992/93, when it was called the Littlewoods Cup and Coca-Cola cup respectively.
None. Their only final was in 2006, which they lost 2-1 to Barcelona following a Jens Lehmann sending off early on in the game.
Arsenal have never won the European Cup or Champions League. Their best performance was in 2006 when they reached the final, but was beaten by Barcelona 2-1.
Arsene Wenger has never won the Carling Cup as Arsenal manager. His team has managed to reach the final twice, losing to Chelsea and Birmingham City respectively.