Are you trying to define the projection for a file that doesn't have a defined coordinate system or are you trying to project geographic data (aka decimal degree data) to some other coordinate system? If it is the former, then you need to find out from the source what the projection was before using the Define Projection Tool...if it is the latter, then select from the many projected coordinate systems that can be used for Canada or Ontario depending upon your needs (Project tool in Arctoolbox)
Check out some of the GIS portals for Canada. Cross reference what some of the National coverages use as projections if need be.
Geogratis - Administrative Boundaries (provincial borders) Geobase - Administrative Boundaries Ontario - Ministry of Natural Resources map page, see what projections are used on the maps (read fine print)