Hi Philipp,
try this (the code - I think - explains itself):
ClearAll["Global`*"]
numberOfSteps = 1000;
startingPostion = {0, 0};
randomStep =
Table[RandomChoice[{{0, 0}, {0, 1}, {1, 0}, {0, -1}, {-1, 0}}], {n,
numberOfSteps}];
randomPosition = Prepend[Accumulate[randomStep], startingPostion];
randomLines = Partition[randomPosition, 2, 1];
Manipulate[
Graphics[{{Green, Line[randomLines[[n + 1 ;;]]]}, {Blue, Thick,
Line[randomLines[[;; n - 1]]]}, {Red, Thick,
Arrow[randomLines[[n]]]}}, Axes -> True, ImageSize -> Large], {n,
1, numberOfSteps, 1}]
As a discreet remark: If possible try to avoid looping constructs (like "For[ ]") as this does not agree very well with the programming paradigm of Mathematica.
Cheers Henrik