advanced melee question

when you are defending and it has the one where all four arrows are pointing at once what are you supposed to press?

That's a multi-directional arrow, and it acts as one of the advantages of using a stronger attack on your enemy (the stronger the attack the enemy uses on you, the better chance you have of receiving a multi-directional arrow). You won't know the actual direction, and you aren't supposed to. You just have to press a direction and hope it's the correct one.