You can check and alter the coordinate reference system (CRS) of a layer through its property page.

How to Open the Coordinate System Property Page

In the Table of Contents, right-click on a layer and choose 'Properties' from the menu that appears. In the properties dialog, select the 'CRS' tab (see below) to see the layer's coordinate system. Select the ellipsis [...] button to open the Select Coordinate System dialog, where you can set or change a layer's coordinate system and datum.

Figure 1: CRS tab on the Layer Properties dialog