What does Guts have in his left arm and when did he get it?
This arm is never explained in the 1997 version of the anime. The arm is a prosthetic arm with a few abilities, most notably the cannon. It was made by Rickert after the events of the Eclipse. I don't think it is ever mentioned what the arm is made of but I believe it was made using various materials. Guts can not move his fingers of the arm, and the hand has a magnet to hold his sword. He can however, move his fingers when he goes into his berserker state, but that is a result of the Berserker armor, not himself or the arms functionality.

I haven't seen the new Berserk anime yet, only the golden age movies, so I don't know if they elaborate on the arm in the new anime. The golden age movies ends just after the Eclipse, before Guts gets the new arm. I would assume they would elaborate on this in the new anime at some point, in a flashback or something.