Setting Projections in ArcView 3.3:

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ArcView 3.3 is a little different from ArcGIS in how it handles Projections.  For one thing, you don't have "ArcCatalog".  Also:
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This program cannot "project on the fly" for Grids / Rasters, so you'll want to use files which already have a projection in their native format for these file types (i.e. most of them are already in a projection anyhow!).

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Shapefiles CAN project / re-project on the fly as long as they are stored in decimal degrees for their native format

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By "native format" I'm referring to the way the data file is actually stored on disk - i.e. remember projection information is often stored in accompanying "world files" for raster data, and in ".prj" files for vector data.

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The 'long and short' of all this is the raster data (assuming you have some!) will determine the projection you set for a given view in your project.  If you have more than one raster and they are stored in different projections you'll want to create more than one "View" since you CAN use different projections for different Views.