The Universal CAD Projection File
In ArcGIS 9.2 you can use a single ArcGIS projection file to describe the spatial reference for an entire workspace of CAD drawings. By naming an ArcGIS projection file with the name esri_cad.prj all of the CAD files in that workspace that do not have their own projection file will use that file’s instructions to identify the coordinate system of the included CAD drawings. Therefore if you have a directory full of tiled CAD drawings you need only define the coordinate system once for the whole set. Be sure however that if you move a file out of that directory that you also make a copy of the projection file specifically for that drawing.
From the ArcGIS 9.2 Help System:
The universal projection file is for defining a coordinate system for all CAD drawings in a workspace. esri_cad.prj will apply to all CAD drawings in that folder, which do not already have a projection file designated. If one exists for a specific file it will override the esri_cad.prj file.