Concept:
For complex numbers,
\[
\arg\left(\frac{z-z_1}{z-z_2}\right)
\]
represents the angle subtended by the line segment joining \(z_1\) and \(z_2\) at the point \(z\).
If this angle is constant, the locus is a circle passing through \(z_1\) and \(z_2\).
Step 1: Identify the fixed points.
Given
\[
\arg\left(\frac{z-1}{z+1}\right)
=
\frac{\pi}{4}
\]
which can be written as
\[
\arg\left(\frac{z-1}{z-(-1)}\right)
=
\frac{\pi}{4}
\]
The fixed points are
\[
A(1,0)
\]
and
\[
B(-1,0).
\]
Step 2: Interpret geometrically.
The condition
\[
\arg\left(\frac{z-1}{z+1}\right)
=
\frac{\pi}{4}
\]
means
\[
\angle APB
=
\frac{\pi}{4}
\]
where \(P(z)\) is the moving point.
Step 3: Use the constant angle theorem.
The locus of a point that subtends a constant angle at a fixed chord \(AB\) is an arc of a circle through \(A\) and \(B\).
Therefore the complete locus is a circle.
\[\begin{aligned}
\boxed{\text{Circle}}
\end{aligned}\]
Hence, option \(\mathbf{(B)}\) is correct.