If you make any changes to the structure or state of your project (for instance, collapsing a folder tree or opening or closing files), you will want to save it so your preferences are maintained. To save a project, select "Project, Save". Note that saving a project only saves the list of what files are in the project; it does not save the files themselves. Use "File, Save All" to save all the files in the project.
Saving a project will also save which document you are currently viewing so that it will be re-displayed the next time you open the project. It also saves the cursor location in each file as well as whether a folder in the project tree is collapsed or expanded.