Working in ArcGIS Explorer Desktop 1500.
I inserted two SHP files and a SID and they all lined up.
Inserted several Orthophoto TIF files and they show up halfway around the world.
Have the TIF, TFW and AUX files.
My source for these files is using ArgGIS Desktop and found the checkbox to "Use World File ...."
I have not been able to find this checkbox in Explorer.