I ve different shape files of UTM Projections accordingly belonging to zone 44,43,42.. I ve to club all these shape files into a single Feature dataset which asks for projection information while creating it in arcgis... So which projection if i define, i can do the task.. Kindly suggest ...
Depending how accurate your data needs to be you could use GCS WGS84 which has no zones but is geographical (GCS) in stead of projected (UTM). Otherwise you will have to choose one of the zones and project all data in that so you can use this for the feature dataset (I advise you not to do this).
The Merge tool will project your data on the fly, if each input is properly defined. The output will be either the projection of the first input or whatever the Output Coordinate System geoprocessing environment is set to.
While it is possible to 'get away' with merging data in adjacent UTM zones (usually for features straddling the zone division or features far to the north or south that physically fall into two or more zones) (the zone edges overlap progressivly as one moves away from the equator) It is indeed unlikely that a multi-UTM-zone merge would be a good idea.
Similarly, geographic (simple cylindrical) may not be ideal either; it all depends on what you hope or expect to do with the data post-merge. Some thoughtful consideration given to a projection choice at this stage can accrue valuable advantages, and is well-advised.
I'll echo what Paul said. Unless you specifically need to build a topology, a network dataset, a terrain dataset or a geometric network, don't use a feature dataset. Just put the data in your geodatabase. By definition, all feature classes in a feature dataset must have the same spatial reference.