Claire -- you've made a common beginner's mistake here. If you want to change the coordinate system of a raster dataset (ie, your raster is in decimal degrees and you want to make it UTM), you need to use the Project Raster tool to make a new dataset, projected to the coordinate system you want. If the you want to document the coordinate system (if it is or wrong or missing) the tool to use is Define Projection (this is what you're doing with the catalog properties, you are just changing the documentation, not the raster dataset).
Hope this helps!