The ArcView Projection Utility is a stand-alone wizard-based tool which lets you project shapefiles from one coordinate system to another. It lets you project unprojected shapefiles, and perform datum transformations. The utility also provides a way for you to create coordinate system metadata for your shapefiles which do not already have that information. That information is stored in an ASCII projection file, which has the same prefix as your shapefile, and a .prj extension. For example, if you have a shapefile called rivers.shp, its coordinate system information is kept in rivers.prj file (from http://www.valpo.edu/geomet/geo/courses/geo415/projectn.htm)
GISTutorial.NET has created an interactive flash tutorial which can be viewed and downloaded at
http://www.flash.gistutorial.net/arcview/projection_utlitiy/projection_utlity_en.html