This issue is addressed in the ArcGIS Desktop 9.1 Raster patch.
Defining the spatial reference of a file-based raster in ArcCatalog or with the Geoprocessing tools causes the world file to be deleted. There is no way to restore the world file once it has been deleted.
This is a known issue.
Note: This file extension is typically .sdw, .tfw, .jpw, or .bpw.