You can perform this task in 2 ways: In ArcGIS 10 using ArcMap click on the Catalog docking panel and click on ToolBox / ConversionTools / To CAD /Export To CAD. In the Export toCAD Window, select your input shapefile feature and in the output Type, click on the Dropdown box and select DWG type format you want to export to and choose the location and the output DWG file name and at least click on the Ok button to run the conversion process.
You can perform the same process using ArcCatalog by activationg ArcToolBox from ArcCatalog GUI.
And you can do it directly from the Table of Contents. Right click on your shapefile/layer, choose "Data>Export to CAD". It's the same tool from the toolbox as was mentioned previously, just a quicker way to get it.
