Mapping Center Answer:

Converting the coordinate system in 9.2 is essentially the same as it has been in previous versions. You can use the “Project” tool in ArcToolbox (Data Management -> Projections and Transformations -> then select if you want to project features or rasters -- there is even a batch project option in here.) This is available in either ArcCatalog or ArcMap. If you do not have a projection defined for some of your data layers, then use the Define Projection tool first.

Hope this helps!