There are two ways to create a project: create it out of a deal you won or go to Projects tab and hit the big + button.
Give your project a name and set it up as a client project or internal project. If it's a client project, you need to put down a company you're doing this project for.
Choose a company from a drop down menu. If you don't have it yet, start typing the name and create the company now.
Hit the Create project button and you're all set.