In 4-quart saucepot, heat Olive Oil over medium-high heat and cook shrimp 3 minutes or until shrimp are almost pink. Remove shrimp and set aside.
In same saucepot, add orange pepper and onion and cook, stirring occasionally, 4 minutes. Add garlic and cook 30 seconds. Add rice and stir to coat. Stir in wine and cook, stirring frequently, 1 minute. Slowly add hot broth, 1/2 cup at a time, stirring occasionally, until almost all liquid is absorbed and rice is creamy and tender, about 25 minutes. Stir in arugula and return shrimp to saucepot during last 2 minutes of cooking. Cook until shrimp turn pink. Stir in cheese.