Hi Joe Flannery & Hildegard53, Thanks for your responses.
I used "Group" to search in the "Help" of my ArcGIS 10 and I got a result: Group layers in ArcGlobe that has an additional view option of List Including Group Layers. My ArcMap 10 is ArcGIS-ArcInfo, not ArcGlobe. So I don't have the "List Including Group Layers" to do the "Grouping" you said. However, I tried to do the "Grouping" in my ArcMap ArcInfo 2 ways ((i) by pressing the "Ctrl" button and selecting the shapefile and 2 tif files, and then clicking on the "Zoom To Layers". it did not work. (ii) by pressing the "Ctrl" button and selecting the shapefile and 2 tif files, and then clicking on the "Group". this did not work either) as close as your instructions, but they did not work for me - see the attached file. Any thoughts or methods for me to get "Zoom to the map extent" worked to see the one shapefile and the 2 tif files appeared on the same Map? Please help and respond again.
Thanks,
Scott Chang