My first suggestion, if it is an option/available, would be to perform the rotation in AutoCAD (or have the author do it for you). Because of the potential variants on how things could have been drawn (blocks, xrefs, etc) rotating everything at once would be simplest there. The rotate tool allows you to rotate everything around a specified input point dynamically, with a snap, or a specified angle. Then you can convert to shapefile without having to worry about individually rotating and keeping aligned several pieces.
The next option would be the Rotate tool on the Editor toolbar. Select everything, hit that tool, and you can also rotate dynamically or using a specified angle by typing A. But rather than specifying a rotation point as in CAD, ArcGIS will rotate about the centroid of the group of selected objects (just as it would the centroid of an individual object). You can move this centroid control point (look for the x in the middle, hold ctrl and hover over the x until the cursor changes, then click to drag it), but the problem is it's going to start in a different location for every group. And if you've broken the dwg into multiple shapefiles, you can only be editing one at a time (feature classes in a geodatabase wouldn't have this issue). As a result, before doing any rotation editing you would need to create a reference point that you can snap the various group control points to so you end up rotating them all about the same point, otherwise you're going to throw the alignment off.
Other options include the Spatial Adjustment tool as PolyGeo suggested (again you may need to create a reference point/line for precise rotation and preserving alignment), and both ET GeoWizards and Hawth's Analysis Tools also have rotation tools.