This option will close the current project and will create a new project.
When you have made changes to your current project, you get a similar dialog box:

You can chose YES to save the changes to the current file.
NO will not save any changes you have made.
CANCEL will cancel the current operation meaning that your current project will not be saved and no new project is created.
ALL will save all changes to all files you made.
When a new project is created you need to give it a project name. This project name will have the BPJ extension.
The project file contains information about all your project files like file location, cursor location, bookmarks, etc.
And example is shown below

After you have clicked the SAVE button, the project file will be created and saved.
Now you get a similar dialog where you need to enter the name of the main BASIC file.
At this stage you can also chose CANCEL. No file will be created in that case. You can then add an existing file with the project manager.
Depending on the options, the main file will be filled with startup code.
' mymainmodule.bas
$RegFile = "M103def.dat"
$Crystal = 16000000
$HWstack = 40
$SWstack = 50
$FrameSize = 60
' The following code is maintained by the property editor
#autocode
#endautocode
New Project shortcut: CTRL + N