The arrival shuttle is where players start who join a round after it has started, usually as an assistant. The shuttle is docked to the arrival hallway, through which you need to pass to reach the rest of the station.
If the round has been going on for a while there is a chance that the arrival hallway has become too dangerous to enter without equipment. If it is just a small drop in pressure or oxygen, you can often rush through with little hazzard. Contact the crew first however, to make sure that there are no firedoors blocking your way, because you cannot open yourself without a crowbar.
When roleplaying, you could ask the crew to help you out by bringing you internals.