Actually, I'm having problems. I get stuck on this step in the ArcGIS 10.1 'Georeferencing a raster to a vector' page.
4. From the Georeferencing toolbar, click the Layer drop-down arrow, and click the raster layer you want to georeference.
As a reminder, I'm using 9.3.
First I load the the referenced map, then the jpg image. At this point, the referenced map appears, but the jpg image does not. Then I click Zoom to Layer on the referenced map. Now it's time to try step 4. I click on the Layer arrow in the Georef toolbar, and the jpg image is not listed. The only layer listed in the Georeferencing Layer menu is the referenced map.
The only way to get the jpg image displayed is by clicking Zoom to Layer. That changes the Data View's coordinate system to whatever ArcMap thinks the jpg image's coordinate system might be. This is despite the fact that the coordinate system and spatial reference listed in the Properties of the jpg image is still the same as the coordinate system of the referenced map.