The arrow of time is a familiar phenomenon we all know from our experience: we remember the past but not the future and control the future but not the past. However, it takes an effort to keep records of the past, and to affect the future. For example, it would take an immense effort to unmix coffee and milk, although we easily mix them. Such time directed phenomena are subsumed under the Second Law of Thermodynamics. This law characterizes our experience of the arrow of time in terms of an increase of a theoretical magnitude called entropy. Statistical mechanics tries to explain the Second Law as an effect of the behavior of the microscopic particles that make up the universe. Since our senses are too coarse to see this microstructure, statistical mechanics describes our experience in terms of probability, or in terms of the partial information we have about the particles. In this paper we explain the workings of statistical mechanics; how it accounts for probability as an objective feature of the world based on the underlying dynamics; how it accounts for our memories of the past; how the statistical mechanical probability underwrites the Second Law; and how, at the same time, it leads to a violation of the Second Law by the so-called Maxwell’s Demon.