For some tires, the directional indications are for tread purposes (i.e. moving water or mud to the edge of the tires).
For some tires, it doesn't matter.
For some tires, the weave of the underlying tire casing is woven in such a way as to have a preference for deforming in one direction. For these tires, if you run them the other ('wrong') way, it causes the tire to wear unnaturally and wear out earlier.
Again, it depends on the tire.
The directional arrow on Continental GP4000sII's is located, on the sidewall, right beneath one of the tread wear indicators.