The achievement requires that you forge a helmet, armour and a weapon from Arcanium but it isn't as simple as going down to the forge and doing that.
You need to first acquire the Arcanium Smelter which can be found in the Arcanium Mines (I know, how original). The mines are in the Golden Hills area, located to the left of Goldo's fort. The smelter is immediately visible upon entry to the mines but getting it out can be quite a pain. Typically, the quickest way isn't actually possible when carrying the smelter. The long route is littered with enemies but I found the best option to be clearing out enemies at a distance with red minions. When your path is completely clear (or near enough) you can actually get the reds to just walk through any of the flames that come up from the ground and direct them along manually.
Once you have got the smelter back to the teleport and sent it to the tower, you can use it to forge your 'set'. A helmet will cost you 8,000 gold, armour is 7,000 and a weapon is 5,000.