Projects are collections of uploads (read more) - and can be easily created from either your library, or via the dedicated upload screen. The main thing you need to know is that a project cannot be empty, so you'll need at least one image to get going.
Under the 'Projects' heading in your library, you'll notice a dotted square - this is a dropzone, and you'll see it whenever you have individual uploads available in your library. To create a new project, simply drag a single image onto the empty project dropzone, and voila!
If you have more than one image in your library, you can create a new project by dropping one image onto another. This will create an Untitled project using those two individual images.
When uploading images using the original HTML uploader - available at http://username.prevue.it/upload/ - the first option presented is the project location of your new uploads. If you visit this page directly, this selection will be blank - if you visit it from an existing project, it'll be pre-filled with the project you visited from.
Regardless of what is presented in this screen, by clicking on this first option you will be presented with a popup selection - which includes the option to 'Create a new project'. Clicking this will reveal an addition input where you can name your new project.