Hello! =) "I arrived to Colombia" is definitely incorrect. Yes, some people in the southern U.S. states may say it, but it is still incorrect. You would say "arrived at" in most circumstances if not designating a city or country... for instance, "I arrived at the airport late." However, yes, if you were using Colombia as the example, you would say, "I arrived in Colombia late last night." More examples: "I arrived at the bus station." "I arrived in Portugal." Does that make sense? =)