Projects are simply a collection of tasks to help you stay organized.
You are able to create tasks without adding them to a project. Such tasks will be organized under "Tasks without a project" within the "Projects" view.
To create a project select "Projects & Tasks" and then click "Add Project"
You'll be asked to enter a project name as well as a few other optional inputs. Projects can be added within the "My Tasks" workspace as well as within public Workspaces. You can learn more about the difference between "My Tasks" and your public workspaces here.