When you started off in AutoCAD you had 1 file and your project was basically Windows (now File) explorer.
When you moved to Inventor you have multiple files and you had to create a project file (.ipj) to manage those multiple files with or without the assistance of the Autodesk Vault.
3ds Max continues the trend of project management by also working in a project that was specifically created in 3ds Max with folders that it keeps track of.
To create a project you select the File drop-down menu and navigate to Projects.
From here you are able to select any recent projects that you have been working on.
Projects have Default folders which are created automatically when you select the Default option. These files are the following:
You can add to these. For example, I have created an Inventor folder to house my Inventor assemblies and parts before importing it into 3ds Max. The .mxp file holds the path links for any files that need to be referenced or saved. (eg materials or images that have been saved)
New to 3ds Max 2019 is the Automatic Switch. This will automatically switch to the project folder when working in multiple scenes. A very useful tool. This can be toggled on or off.
In the Configure User Paths dialog box you will setup which are your default project folders and where they reside in relation to the folder that you choose to start your project from. You can also configure where you would like your Xrefs to reside so that you have minimal issues when working with these.