The most foolproof method to control it is by using relays to switch The DI1 through DI6 pins (see page 2-11) to DCM. Each combination of DI4, DI5, and DI6 selects a different speed. The speed of that particular combination can be configured via the VFD's interface. This control method is analogous to just using toggle switches between those DI pins and DCM.
Information on using relay modules with the Arduino is available here. I'd recommend you purchase a module with optical isolation (also described in the above link) as these drives tend to be very electrically noisy. You really should consult with a qualified electrician for the power hookup of the VFD.
There's a ton of information to read in the VFD's manual. You really need to spend some quality time with it.