Hm, they are supposed to work, though I did find
this possible solution, and also
this one. Some purists claim that only lamers use the arrow keys, or that using "hjkl" (the original keys for arrowing around from VI) is more efficient because you don't have to move your hand all the way 2 inches over to the arrows, but I figure my keyboard has arrows, why not use 'em? Anyway, I hope the solutions above work for ya.
