Do not install WordPressMu like WordPress, especially do not change wp-config-sample.php to wp-config.php and modify it like you mentioned in your post.

1. Make sure that you create WordPress database with utf8 and collation utf8_standard_ci. An easy way is using phpmyadmin.
2. create ..wp-includes/languages directory
3. Download ar.mo from http://svn.automattic.com/wordpress-i18n/ar/branches/2.2/messages/ar.mo
4. copy it over wp-includes/languages. you will have wp-includes/languages/ar.mo
5. Now you can configure your WordPress with arab language in “Options”

This can be applied for other languages.

See this post on Wordpress forum.