Before importing, use the MAPCSASSIGN command to set your drawing's coordinate system (e.g., UTM 84). Run the Import Command: Type MAPIMPORT in the command line.
(free, open-source)
If your AutoCAD version doesn't support KML import or if you encounter issues with the built-in import feature, you can use Autodesk's KML to DWG Converter:
If your KML contains only an image overlay (like a Google Earth screenshot):