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To create a map project with shapefiles and orthoimagery that can be exported/imported using the Check Out/Check In process, all map layers must be stored in a File Geodatabase. Use ArcCatalog 10 to create the File Geodatabase and any shapefiles you need. Import orthoimagery or other data to the File Geodatabase.
Check Out Map Project Layers
Check In Map Project Layers
Here's the actual tutorial:
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