AutoCAD (since R13) supports Unicode so it is possible to use double-byte character sets and languages in MText, annotations, etc.
You will need a BigFont or a Unicode font containing asian glyphs and Windows language support (locale, NLS, IME) to be able to enter the Asian characters (alternatively, you can enter them using their hexadecimal codes or \U+ or \M+ unicode codes - e.g.: \U+9A66).
For Chinese you can use the CHINESET.SHX supplied with AutoCAD (load it as a BigFont: txt.shx,chineset.shx) or the GBEITC.SHX, GBENOR.SHX and GBCBIG.SHX fonts. For Korean (Jin-Hangul) you can use the "WH" SHX fonts - WHTMTXT.SHX, WHTGTXT.SHX, WHGTXT.SHX and WHGDTXT.SHX. For Japanese use the EXTFONT.SHX and EXTFONT2.SHX.