**This bug has been fixed at ArcGIS Desktop 9.3.**
If the RGB and the panchromatic datasets are not in the same coordinate system, the RGB image disappears from the display when attempting to pan-sharpen it.
This bug is caused by the two datasets being in different coordinate systems.
To ensure pan-sharpening works correctly, both images must have the same coordinate system information. Project one of the images to match the other:
- Navigate to ArcToolbox > Data Management Tools > Projections and Transformations > Raster and open the Project Raster tool.
- Input the raster to project.
- Select the output location and name of file.
- Select or Import the Spatial Reference so it matches the other image.
- Run the tool.
- Re-apply pan-sharpening using the two images that are in the same coordinate system.