To create a new project you first must start up the premier pro application, you will introduced with this window with the following options, you then click on new project.

Once you start up a new project you get a lot of options, just make sure to give your project a title and then choose a saving location and make sure that it has enough space for it to be saved there.

As soon as you create the new project it will appear like this, from here you are free to create any type of content you want.