From Platinum, BW, and BW2:
>It is said to have emerged from an egg in a place where there was nothing, then shaped the world.
From X:
>According to the legends of Sinnoh, this Pokémon emerged from an egg and shaped all there is in this world.
That's all we know. Arceus came from an egg that existed before the universe did, then proceeded to create it. Other than that it's theories and speculation. Did some higher power create Arceus? Did it create itself? Is he left over from a previous universe, a la Galactus? Was it just always there? We really don't know, and will most likely never know.
In monotheistic religions (Christianity, etc.), God was simply always there and came from nothing. It is highly likely that this is the same for Arceus because he is the "god" of the Pokéverse.
But like I said, we really don't know.
