Agni Invades is the first of the Arcana Release Quests you will get. You will first get a notification that you are sensing Arcana power, and the Veddels will let you know that you can now start the first Arcana quest.
Head out the gate and go to where you first began right after the tutorial. You can opt to talk to the two Veddels, or just approach the glowing monolith. Press O when prompted, and the monolith will crumble. You will now be teleported to Ahbor Desert, home of the fire-based boss Agni.
The first time facing him, you can only attack his body. You can't lock on to his right arm just yet as you need the Eye of the Gods orb to be able to identify the breakable / weak parts. It is still possible, although difficult, to break his arm on the first try.
Defeating Agni unlocks Ahbor Desert and Chapter 2, and more missions.