Project folders in 3ds Max are a great helpful tool! By setting the project folder, this allows 3ds Max to search or look in the folder of that project directory. This works well for when other people are working on a project with you or if you have to come back to a project after a few weeks. Setting the project active re-paths the search folders in 3ds Max to look for presets, scenes, import/export and other project specific folders.
Found under the Application big "M", and then Manage setting the folder is easy either to an existing folder or creating a new one.