The answer is most likely one of two reasons: 1) the map projection associated with the data is either not defined, or 2) the projection of the data is defined incorrectly. Take a look at the metadata that may have been provided with your geospatial data and see if projection information was included. Compare it against your data using your GIS software (consult your software's help system for information on how to do this).
Also keep in mind that different GIS software packages handle projections differently. Some software cannot display data that are of different projections; others have the ability to reproject the data on the fly when the data are displayed. Consult your software's help system for information on how your software manages projections.
If the projection of your data matches what is specified in the metadata, consult the organization that either created or provided you the data in question.
