In order to use a scale bar with real measurements you must use a projected coordinate system, for example: WGS84 UTM (Zone XX north or south), Albers Equal Area (for large areas) or Lamberts Conformal Conic projection.
Select View::Data Frame Properties or right click on the data frame icon in the table of contents and go to the properties. In the view there is a tab Coordinate System which will allow you to change the spatial reference of the map. If it is greyed out there is a problem with one of your layers or you are currently editing - in either case you cannot change the spatial reference of the map.
Of course, the correct coordinate system for the area you are covering depends entirely on where it is in the world, what datum your data currently is in (your geographic coordinate system) and how much area you need to cover - sometimes it can be tricky to get it right and worthy of a GIS.SE question in itself.
If you are only covering a small area (less than a whole state or country) then try UTM; in the reference systems folder of you Esri install location there is a shapefile called UTM which will give you the zone number to use, then select either north or south depending on whether you are above or below the equator (if you are on it doesn't matter) provided you aren't outside of the arctic circles... Then find in the Projected coordinate systems/UTM/WGS84/your hemisphere/ WGS 1984 UTM Zone your zone.