What are the tools used to create the instructions and arrows in such images?
Which one is the font?
You can use different programs to do that image. I would use Photoshop, if you have access to it, depends on your OS (mac has great easy soft for this, and Gimp is an excellent program that you can download for free).
For Photoshop, put a black layer with 70% opacity for the background, then for the arrows you could use any of these shapes: http://www.shapes4free.com/shapes-resources/850-free-photoshop-arrow-shapes/
And about the font, you could pick your own from here: http://www.dafont.com/theme.php?cat=603
In addition to this answer: arrows are not shape,(they can be used as alternative)but you can get same brush from here
Make sure all the materials you use have the appropriate licence if you want to distribute your creation.
I've long been interested in these hand drawn arrows and think I've now nailed down the process. Believe me, I've tried all sorts of long winded techniques like hand drawing the arrow, then scanning and recreating in illustrator probably not an uncommon method but not as quick as this next method.
As correctly pointed out above by utopicam, use the shape tool and find some arrows. The steps are all in this image.
If your primary purpose for asking this question is that you want to facilitate User Interface mockups and screen annotations (as illustrated) then you may be interested in Balsamiq. This is a purpose-built tool for UI wireframing and it is excellent for that purpose.