Kenny,
Your data is most likely in a geographic coordinate system with units of DD. ArcScene interprets the z unit the same as the x,y unit. You should project the data to a projected coordinate system that uses feet or meters. The spatial reference you choose should have units for x,y that are the same as your z unit. In other words, if the elevation data is in meters you should choose a projection that also uses meters. Its best to have x,y, and z be the same unit so you don't have to set any unit conversion factors.
If you want to quickly examine what the data will look like before projecting it, you can set the base heights in ArcScene like normal, then go to the View > Scene Properties page and set a vertical exaggeration (calculate from extent). Set the number to something very small, like 0.0003.
Regards,
Eric