From the Illustrator Help Manual (emphasis mine):
Do one of the following:
* To apply the command as a filter, select a line to which you want to add arrowheads. Then choose Filter › Stylize › Add Arrowheads.
* To apply the command as an effect, select an object or group in the artwork, or target an item in the Layers palette. (For more information on targeting, see Changing the appearance of artwork using the Layers palette.) Then choose Effect › Stylize › Add Arrowheads.
Now, would someone please mail this information in a letter to:
Adobe Abode
User
Interface 101
Geniustown, WA 12345