When starting PIC Development Studio, the Project Wizard dialog appears. From the Project Wizard you can set up a new project or open an existing project.

New Project
To create a new project, just click on the button label New at the bottom of the dialog. To learn more how to set up a new project, read the tutorial Creating a new project

Open an existing project
In the list in the middle of the opening dialog are all projects saved in the project folder listed. If you have saved your project elsewhere, select [more files...] and click on Open.