Project Files is a type of file that saves everything: your CNC code, the SimCam document, your settings, tools, workpieces, etc. A project file is like a time machine that lets you go back to the status of your simulator at the point in time you saved it. This is also very useful for the support team as they can ask you to send a project file to make troubleshooting a problem much quicker.
When you load a project file, all your settings and things in the Inventory Browser are temporarily replaced with the settings and items in the project file. As long as you do not exit the program, you can return to your own settings and items using "Unload Project File" in the menu. To remind you that a project file is loaded, the bottom toolbar will be colored red until you unload the project.
To make sure you do not lose anything, take a backup of your settings and inventory before loading a project file.