Problems finding a players character?

First of all, make this a LocalScript if it is being used inside the player. Secondly, you do not need to write a "PlayerAdded" event to get the player's chat. Just do:

local Player = game.Players.LocalPlayer

repeat wait() until Player.Character --Wait for the character to spawn in

local Character = Player.Character

Player.Chatted:connect(function(Msg)
    --Stuff
end)

You have to make sure the character has loaded first, and update the character whenever it respawns. Also, parent the weld to the brick, because welds should always be parented to their C0 values

Make sure this script is in ServerScriptService

game.Players.PlayerAdded:connect(function(player)
    repeat wait() until player.Character --wait for the character to load
    local character = player.Character --define character
    game.Players.CharacterAdded:connect(function(c)
        character = c --update the character whenever a new one respawns
    end)
    player.Chatted:connect(function(msg)
        local arm = character:FindFirstChild("Right Arm") --make a variable for the arm
        if not arm then return end --terminate code if there is no arm
        if msg:lower() == "equip" then
            print("DIE")
            Part = Instance.new("Part")
            Part.Size = Vector3.new(5,5,5)
            Part.BrickColor = BrickColor.new("Really red")
            Weld = Instance.new("Weld",arm)
            Weld.Part0 = arm
            Weld.Part1 = Part
            Weld.C1 = CFrame.Angles(0, 0, 0) *CFrame.new(0, 0, 5)
        end
    end)
end)