If you are using ArcGIS 9.3, then it will automatically read an ENVI format file, retain the values and should retain most projection information.  I have seen some custom map projections not retained.  The next best format would be to export to an ArcGIS GRID file or a GeoTIFF via File ->Save File As...

I do have ArcGIS 9.3, but it does not automatically read an ENVI format file. When I go to add the ENVI files in ArcMap there are no files in the folder ?

ENVI files comprise 2 parts - the binary data file and the associated .hdr text file.  The binary data file must have a file extension for ArcGIS to recognize it.  Arc will recognize a '.dat' or '.img' extension as ENVI format.  Check to make sure your ENVI binary files have one of these file extensions.  For examp;e myfile.dat + myfile.hdr would be a full ENVI file.

I do not understand the myfile.dat + myfile.hdr part? Do I need to add them together? When I add *.dat to my files ArcGIS can see them and add them but the values are really strange.