Many people have dealt with the police in their lives.  I myself went to college to earn my degree in criminal justice so i could become an investigator. 

One of the biggest questions we had to deal with during my time as student was simply "when are you under arrest, and when are you simply being detained?"

Being detained means simply you are being held for a small time limit and that yuou are free to go at your own leisure. what this means is that if you ask to leave and the police allow it you were just detained. 

You are under arrest when you personally feel that you cannot leave the pressence of the police.  If you ask may i leave and they say no, you are under arrest. 

By the decision in Miranda v arizona you must be informed of your rights before any more questioning can continue.

If you feel you are under arrest and the police have failed to inform you of your miranda rights then you have the right to protect yourself from self incrimination. which is a part of the 5th amendment.

So quick overview.  being detained is when you are held by the police for any period of time, but you have the right to leave of your own free will.

Being arrested is when you cannot leave of your own free will, and are being held by the police.

First words out of a persons mouth after they have been arrested should always be "I Want a lawyer".