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Krishna: if you win the war you can become happy with your kingdom 

Arjuna: I can't be happy even if I win a kingdom with prosperity and sovereignty like Demi-gods of heaven. All I want is only transcendental knowledge. 

No one can get complete satisfaction by material comforts only, We see in the western countries where they have all material comforts to the fullest extent possible but still they have no satisfaction at heart. Why? because we are not these bodies but spirit souls. Arjuna had everything of material comforts but still that couldn't make him happy.  

Source:http://dinesh-krsna.blogspot.in/2015/02/wealth-material-comforts-alone-cant.html