The polygon is always completely off the map. I have tried to use the define projection tool, but that does not put the polygon in the correct place. Is there another way to set the projection in the correct spot?
In order for the layer to show up in your map, you will need to know what the data source is for the layer with the "Unknown Spatial Reference". If you don't know it already, you need to find out. It is best if you can find out by referring to wherever the data came from. If you find out, skip to the next paragraph. However, if you are really stuck, you can use a little bit of "trial and error" if you know some of the common projections for data in your area/region.
Try changing the projection of the data frame to one that you think (or know) it could be. For example if you are in Indiana, you might try their state plan coordinate system and if that doesn't work maybe try the UTM zone that is appropriate for your location. Just right click on the Data Frame (typically named "Layers" in the table of contents) and choose the projection tab (see my screenshot).
Once you have found the one that makes the data appear correctly you may want to assign that projection permanently using the Define Projection Tool. That one is in "Data Management Tools"->"Projections and Transformations"->Define Projection.