Sounds like you have a number of issues to get a handle on.
1. Regarding the 2006 refund from Arizona state. I would call the AZ Department of Revenue and see what the status is on the refund (see the numbers below). You will most likely need a copy of the return handy. If you don't have your 2006 return then a representative should still be able to help you (you'll probably have to give your SSN and address).
Refund status can be obtained by using the automated phone system. Call (XXX) XXX-XXXX or toll-free 1-877-542-2281.
If you need a copy of your AZ 2006 return go here - http://www.azdor.gov/About/FAQs/Individual.aspx
and click on "Copy of Your Tax Return"
2. Regarding your delinquent tax returns (2007-2011) - You should prepare and file these returns as soon as possible (assuming you have a filing requirement). Note that if you are due a refund for 2007 or 2008 then you probably won't get it. The IRS requires that claims for refunds be made at least three years from the original due date. Your 2007 return was due on 04/15/2008 and the refund claim expired on 04/15/2011. The claims for refunds for the 2009-2011 years should be accepted. Also note that if you have a balance due then you will be charged with a late filing penalty as well as a late payment penalty.
Here is some information on the "Statute of Limitations for Tax Refunds, IRS Audits, and Collections" - http://taxes.about.com/od/backtaxes/qt/statute_limits.htm
Here is a good IRS article about back taxes - http://www.irs.gov/newsroom/article/0,,id=178194,00.html
I hope this helps, please let me know if you have any further questions.
Just a friendly follow up. You have not yet accepted or rated my answer so I am wondering if there is something which is not quite clear or understood. Please let me know if you have any further questions.