In order to start a new project select the File menu, and click New (shortcut key <Ctrl-N>)
Select the Project button and give your project a name by clicking Browse... in the New Project Name section.
Now, you can start adding schematics and PCB design files into your project.
Projects are useful for controlling a set of Schematic sheets and a PCB design together to form a complete job. The advantage of using a project is that the Schematic design can be split into separate sheets. Each schematic design in the project will represent one of the sheets, but will have access to the projects global net names. The use of a Project will enable net names and component names to be tracked through each sheet so that duplicates are not produced.
Initially, you can only create an empty project to hold your designs. As the design files are created you can add them to the open project, or you can later return to the project and include them using the browser.
Note: You should normally put each project in its own folder along with any associated design files.
What can I do within a project window?
How can I add files to a project?
How can I setup schematic sheets?