If you are running ArcGIS 9.3 or 10.0, those versions will recognize the ENVI format (binary file with a .hdr text file) so there is no need to convert the data. Just be sure that the ENVI binary data file has an extension on the end such as .dat or .img.
Otherwise, I would suggest exporting to TIFF using File ->Save File As ->TIFF/GeoTIFF.
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