C4 Is For Cookie is a location-based challenge in Mr. Torgue's Campaign of Carnage. To perform this challenge in Torgue Arena, 6 cookie boxes must be killed in the Arena store rooms. It is worth 4 Badass Rank.
Cookie Box Locations
Starting from the entrance, which is marked by the green diamond in the map below and proceeding along the outer ring (counter-clockwise on the map), the storage areas holding the cookies boxes are the first, second, and fourth rooms initially. Beyond the two conjoined rooms there are cookie boxes in the seventh and eighth rooms.
The most commonly-overlooked cookie box is not in fact in a storage room, but within the hidden basement room; the top-middle map marker in the image below. The hidden room is sealed beneath a grate, which can be opened by stepping on a hexagonal gray button in the floor nearby. A Cult of the Vault symbol is also located in the room.