The UTM grid I have doesn't fit the grid on my map. What's wrong?

Usually this means the grid you are trying to align the tool with is not a UTM grid. The most frequent confusion come from the public land survey section lines. On a USGS 1:24,000 scale map they are dashed red lines, with red section numbers in the center, they roughly define a 1 mile grid. See this FAQ answer for some hints on locating the UTM grid marks.