You need to choose an Arabic collation for your varchar/char columns or use Unicode (nchar/nvarchar)

CREATE TABLE #test
(
col1 VARCHAR(100) COLLATE Latin1_General_100_CI_AI,
col2 VARCHAR(100) COLLATE Arabic_CI_AI_KS_WS,
col3 NVARCHAR(100)
)
INSERT INTO #test VALUES(N'لا أتكلم العربية',N'لا أتكلم العربية',N'لا أتكلم العربية')

Note the N before values in insert statement above. If you do not mention it, system will treat the values as Varchar, not NVarchar.

SELECT * FROM #test

Returns

col1                           col2                           col3
------------------------------ ------------------------------ ------------------------------
?? ????? ???????               لا أتكلم العربية               لا أتكلم العربية

To see a list of Arabic collations use

SELECT name, description 
FROM fn_helpcollations() 
WHERE name LIKE 'Arabic%'

All of what you have to do is to make sure that

the column Data type is nvarchar()

after that I inserted Arabic with no problems

You can change the collation on the database level instead of changing for each column in the database:

USE master;
GO
ALTER DATABASE TestDB
COLLATE Arabic_CI_AI;
GO

insert into table (column) values (N'xxx').)

You should put N before string to make it unicode

Add 'N' before every value. example:

INSERT INTO table1 VALUES(N'aaaaaaaaa',N'ששששששששששששש',N'aaaaaaaaaaa',N'ششششششششششش')

Try using this:
the column Data type is nvarchar()

INSERT INTO CompanyMaster values(N'" + txtCompNameAR.Text + "',N'" + txtCompAddressAR.Text + "','" + txtPh.Text + "')

This is helpful but work here's what works for me in all cases

ALTER DATABASE [database] SET SINGLE_USER WITH ROLLBACK IMMEDIATE; 
GO 

ALTER DATABASE [database] COLLATE ARABIC_CI_AS; 
GO 

ALTER DATABASE [database] SET MULTI_USER; 
GO

Update: eventually I have to change datatype varchar to nvarchar in my project

make sure all your tables and varchar columns have the collation of utf8_general_ci

Iti is easy to store Arabic string in Oracle. Use this code:

declare @P_CUSTOMER_NAME  nchar(50) 
set @P_CUSTOMER_NAME2=N'أختبار'

The above will save in Oracle just fine.