You may create feature layers, give them a geometry type, and set their coordinate systems using the Create Feature Layers dialog. The Create Feature Layer command will create an associated PRJ file if the user selects a Coordinate System while creating the layer.
To create a feature layer, click the Create Feature Layers 
command on the Feature Edit Tab to open the Create Feature Layer dialog (shown below).
SHP File Path - Enter the path of the shape file here. Press the [...] button to open the Save As dialog.
Layer Name - Enter a name for the layer.
Geometry Type - Choose the geometry type for the layer here. Options include 2D point, 2D line, 2D polygon, 3D point, 3D line, and 3D polygon.
Coordinate System - Use the [...] button to select the feature layer's coordinate system. The default is the Project Coordinate System.
Enable M-Values - Checking this checkbox will result in the creation of an M-Value supported SHP file. A new 'M' column will be added to the Features tab for points and on the Vertex tab for polylines and polygons in the Feature Analyst dialog.