Obtain the land cover data for the location and year(s) that you are interested in from the USGS site:
https://lpdaac.usgs.gov/dataset_discovery/modis/modis_products_table/mcd12q1
Data are distributed in the Hierarchical Data Format (HDF) and each file contains multiple layers of data. Once you have downloaded the MCD12Q1 data for the MODIS tile(s) covering your study area you can open the file in ArcGIS. When you select the HDF file the Subdataset Selection dialog opens. Choose the data layer corresponding to the classification type you want to work with and click OK. There is no need to create a pyramid layer at this time.
The data are displayed as a gray scale image and you cannot adjust the display using the unique land cover class codes. Export this layer as a TIF by right-clicking on the file name then selecting Data | Export Data and selecting the TIFF format when you save the new file. Next you need to build an Attribute Table. Open the Attribute Table for editing and add a new field for the land cover Class names. Enter the Class names for the classification scheme you have selected. These names can be found in the FAQ describing the product.
You should then apply a consistent color scheme to your classification data. Here is an example Color Map designed for the IGBP Type 1 classification layer. Right-click on the link and save the file with a new name MCD12Q1.clr or copy and paste the data into a new file with this name. You can apply this to your TIF by right-clicking on the file in the Table of Contents and selecting Properties | Symbology then click on the Colormap button and import the Color Map. This Color Map can also be used with the Type 2 University of Maryland classification scheme.
These data are in a MODIS sinusoidal projection. You should consider reprojecting the raster dataset to the Geographic WGS84 coordinate system.