Create project menu entry
Projects are always stored completely below one certain directory per project. Creation of a new project is therefore nothing but creating an empty directory and pointing HelpSetMaker to it. Of course, creation of that directory can also be done from within HelpSetMaker.
Create project menu entry
First, select the "File > Create project" menu entry to open the file selection dialog. It is used to create the new project.
Create project dialog
In the dialog, use the controls to create the project:
The buttons in the upper right allow to navigate in the file tree. Especially, the 
icon in the mid of the five buttons allows to create new, empty directories.
Select the wanted directory in the middle. By single-clicking an entrie's name you open a dialog to rename the entry, this is especially useful if you have just created the directory with the icon as escribed above.
Control whether the selected name really denotes the directory you want to create the project in.
Press the "Create project" button.
HelpSetMaker will create a project only in a completely empty directory. If you select a non-empty directory, you get an error message and nothing happens.
New project directly after creation.
A new project is always more or less - well - new. It contains nothing but the automatically genereated root document, which has a random name (and is empty, of course). To make it looking a bit friendlier, perform the following steps:
New project after the first editing steps
Select the root node in the document tree.
Start some editing, especially give the document a ":title" definition.
Switch the editor output screen into "Rendered" mode.
Press the Update button to update the editor output screen.
Activate the Automatically option to automatically let HelpSetMaker the editor output screen on any changes in the editor.