How does mad cow disease evade immune system?
Prions are proteins that we produced but that are misfolded and affect the folding of other proteins. As we produce these proteins, we don't recognize them as antigens. If we were to recognize our own proteins as antigens, then the immune system would constantly be fighting against ourselves. This is what is called a autoimmune disease.

While this was a simple explanation, the reality on how the immune system interact with prions might be a little more complicated. Bradford and Mabbot (2012) might be a good place to start for further learning