... but often satisfactory enough is:

Switch:
   cjne   a,#value1,Case2
   ... code for case 1 ...
   jmp    EndSwitch          ;this is equivalent of C's "break"
Case2:
   cjne   a,#value2,Case3
   ... code for case 2 ...
   jmp    EndSwitch
Case3:
   ... you grab the idea by now :-) ...
   ...
EndSwitch:

JW

PS Have also a look at the following FAQ...