http://www.battleye.com/download.html <-- Download file. Place the file in ....\Steam\steamapps\common\arma 2 operation arrowhead\Expansion\BattlEye :)
I had the same problem. I bought ArmA: II and Operation Arrowhead. Have you tryed to start ArmA: II and Arrowhead up before you tried DayZ ? Worked for me
How much time do you give, before you try another server ? Last weekend some of the servers, on my friend and I, took up to 10 - 15 mins before it started... Give it time, or try another server :)