I did a bulk download of climatic data from http://neo.sci.gsfc.nasa.gov/ in png format so that I will extract my ROI(Africa). After the download I loaded them in Arcgis and discovered they are not projected. And if they are not projected it becomes difficult to extract ROI. Envi did not support the png format. I tried re-projecting using Modis Tool but the tool uses only hdr files. Does anybody have a solution to this?
JPG and PNG are not spatially aware formats, meaning their location/georeferencing information is not stored within the file itself. That requires an accompanying World file that stores such information so the image can be georeferenced.
As GISGe suggested, the GeoTIFF format is available and does include georeferencing information, so it would be suggested to get that format rather than png. Note it's also available in that format as a floating point raster.
Further, you mention using 'Modis Tool' and 'hdr' files. Perhaps you meant hdf files? Note that format is also available at your link as the raw data format.