If this is .Net 4, then you can do the following:
var result = a.Zip(b, (first, second) => new {first, second})
.ToDictionary(val => val.first, val => val.second);
Without Zip, you can also do this:
var result = Enumerable.Range(0, a.Length).ToDictionary(i => a[i], i => b[i]);