Remove the folder containing the arena textures you want to remove, and replace with the arena textures folder that you want to use.
This is in /Project64/plugin/GFX/hires_texture/No Mercy
or
Project64/Plugin/hires_texture/No Mercy (depending on your version)
keep in mind that arenas are coded over existing arenas and are SPECIFIC to that arena. If you want to replace an arena, make sure the arena you are replacing it with was made to replace that arena.
For example, you cannot take someone's RAW arena mod that replaces RAW, and make it replace Smackdown just by copying texture folders around. That arena will still replace the same textures in the same RAW stadium.
After doing this, add the cheat code to the gameshark code list and enable it. Disable any arena codes you are no longer using, or even delete them.