There are a few ways you could go about this.
The simplest is to create a new Feature Class. ArcToolbox/Feature Class/Create Feature Class
Then when you are EDITING to create a NEW LINE, adjust your SNAPPING LAYERS, and SNAPPING parameters to your needs against the LAKES, BOUNDARIES, ROADS, etc so you can use the LAYERS (Feature Class) geometries to guide your NEW LINE.
Try to stay in the same Projection if you need to be accurate within a meter or more
Add your empty feature class/shapefile to arcmap, and click your Editor button and go to Start Editing. (Assuming you are using V10?)
If you plan on following existing geographic features, look at using the Trace tool.
Hint: When tracing, whatever feature you want your line to follow, it has to be Selected.
There are several ways to select a feature:
...by Location
...by Attribute
...by Graphic
Try to explore the Feature Construction toolbar and the various segment creation tools.