How to give projection in to the drawing file?

1. If you know the features in the CAD drawing are already in a projected coordinate system, you may simply define the projection for the dataset. Here is the Help document describing that process: Defining a coordinate system for a CAD dataset.
2. If you know the CAD features are not in a projected coordinate system, but want to define a projection for the drawing anyway, thus enabling it to be projected on-the-fly in ArcGIS, then here is the procedure to Create a custom projection file in ArcMap to align CAD data.
3. If instead of creating a custom projection for your CAD data, but instead want to georeference your CAD file, which creates a .wld file with parameters to shift, scale and rotate your drawing, you will want to use the following help file: Georeferencing a CAD dataset

this can't be done in Auto CAD. You can drawing on 3d page

to be able that, it should be done in 3D

it should be done 3d option

you use the Ray command for projection in Auto CAD software.

SIMPLY BY USING EXTRUDE COMMAND. 

BUT ACTUALLY This can't be done in AutoCAD. you can project drawing file in AutoCAD Civil 3D or Map 3D.

By inputing the extrude command,we can give projection in to the drawing file.

it can b given through Arc Map by importing exporting. 

This can't be done in AutoCAD. you can project drawing file in AutoCAD Civil 3D or Map 3D.

if you know the features in the CAD drawing are already in a projected coordinate system ,you may simply define the projection for the dataset. here is the help document describing that process

Computer Aided Design (CAD) files can be brought into ArcGIS and made to overlay other data in ArcMap by defining the projection (coordinate system). Instructions provided describe how to define a projection for using CAD data in ArcMap and apply to DWG or DXF files created in AutoCAD and to DGN files created in Microstation.