Georeferencing vector layers
For various reasons, sometimes you have a vector layer that lacks projection information. This is often the case with CAD layers that were created only in local coordinates. When it is possible, try to track down the original projection information. As a last resort, you can attempt to warp the vector layer to match a known reference layer with the recipe described here.
You can open two instances of QGIS (or use one as you'll just be zooming back and forth a lot). In one instance, load a reference layer, something in the projection that you want your data to be in. Activate Coordinate Capture Plugin from the Manage Plugins menu.
In Windows, you need the osgeo4w shell for this recipe. If you don't have ...