I used model builder to generate this Python code. I can't see dragging 2000 shape files into Model Builder at once (if you can, please let me know how). I used the tool "Define Projection" under Data Management Tools\Projections and Transformations.
My programming skills are not great, perhaps someone can come up with a loop.
# ---------------------------------------------------------------------------
# Projections.py
# Created on: 2011-06-23 09:23:57.00000
# (generated by ArcGIS/ModelBuilder)
# Description:
# ---------------------------------------------------------------------------
# Import arcpy module
import arcpy
# Local variables:
Rivers = "C:\\Folder\\Rivers.shp"
# Process: Define Projection
arcpy.DefineProjection_management(Rivers, "PROJCS['WGS_1984_UTM_Zone_39N',GEOGCS['GCS_WGS_1984',DATUM['D_WGS_1984',SPHEROID['WGS_1984',6378137.0,298.257223563]],PRIMEM['Greenwich',0.0],UNIT['Degree',0.0174532925199433]],PROJECTION['Transverse_Mercator'],PARAMETER['False_Easting',500000.0],PARAMETER['False_Northing',0.0],PARAMETER['Central_Meridian',51.0],PARAMETER['Scale_Factor',0.9996],PARAMETER['Latitude_Of_Origin',0.0],UNIT['Meter',1.0]]")