Pre-heat the oven to 400 F. Wash and halve the squash, leaving the skin on. Remove the seeds. Season it with salt and pepper and rub a small amount of oil or butter on it. Roast it on a baking sheet, cut side down, for about 40 minutes.
Take the squash out of the oven and let cool (you can put it in the fridge for 10 min). Once cool, peel the skin off. Dice the squash.
In a large salad bowl, mix the arugula, pecans and crumbled feta. Add the squash. Dress with olive oil and balsamic vinegar and toss well.