Just remember what a pain it can be to set up/take down an entire arena. How often will you be moving it?
No comment on the link you posted, as I've never ridden in one like that. My barn has something like this, although I'm unsure if this is the same brand, etc.: http://www.doversaddlery.com/burlngh...60/p/X1-27334/ The rails just set on top and the supports stack quite well. It's relatively fool-proof and makes for a pretty accurate arena, even if you don't pull out the measuring tapes and an army of people to help. My young horse is either really smart or really dumb, but either way he seems to be fine with the concept of staying in the arena and holding against the side of it as if he couldn't just knock it over if he wanted to. We leave it set up through the show season, but it is exceptionally easy to move if need be.