Generally speaking, you may only appeal a final order or final judgment that disposes of the case. (There are exceptions for interlocutory appeals, but those are rare.) It is important to first read the rules and determine if you have a right to an appeal. If you don't have a right to an appeal and file one anyway, it may delay proceedings in your lawsuit. You may also wish to reference Chapter 21 of the Handbook for Self-Represented Litigants.

If you do have a right to an appeal, you must timely file a notice of appeal in the district court. The number of days you have to file an appeal after a judgment varies, so you must consult Federal Rule of Appellate Procedure 4.
The appellate court over the District of Arizona is the United States Court of Appeals for the Ninth Circuit.