In the Spatial Reference Properties window (below left), set the following sequence: Select > Projected Coordinate Systems > State Plane > NAD 1983 (Feet) > NAD 1983 State Plane New Jersey FIPS 2900 (Feet).prj. Press Add. The Spatial Reference Properties window appears (below right), showing the county_roads_sp shapefile has been projected to NJ State Plane NAD 1983 (blue arrow); press OK.
The Project window returns (below left); press OK. A dialog box appears (below, right) that initially says “executing project”, then indicates “Completed”. Press Close.
The map view returns (below), with county_roads_sp at the top of the ToC: