Public Sub ExportCadLayersToShape(pCADFeatureLayer As IFeatureLayer, OutputShapeFilesPath As String)

Dim pCADDrawingLayers As ICadDrawingLayers
If Not TypeOf pCADFeatureLayer Is ICadDrawingLayers Then Exit Sub
Set pCADDrawingLayers = pCADFeatureLayer
Dim i As Integer
Dim strCADDgLayerName As String
Dim pQueryFilter As IQueryFilter
Dim pInFeatureCursor As IFeatureCursor
For i = 0 To pCADDrawingLayers.DrawingLayerCount - 1
    strCADDgLayerName = pCADDrawingLayers.DrawingLayerName(i)
    Set pQueryFilter = New QueryFilter
    pQueryFilter.WhereClause = "LAYER = '" & strCADDgLayerName & "'"
    Set pInFeatureCursor = pCADFeatureLayer.FeatureClass.Search(pQueryFilter, False)
    'Now you can export the features contained in the cursor to a new shapefile
    '.....
Next i
End Sub