In Timing, projects are a means of categorizing your activities. Activities in the activity list are displayed in the colors of their corresponding projects. When you select a project in the list on the left of the Timing window, only the corresponding activities will be shown. In addition to that, the total duration of all activities belonging to a project is shown next to it.
There are two special projects: The "Unassigned" project (which only contains activities belonging to no other projects) and the Blacklist.
The "New Project" button lets you create a new project.
To add an activity to a project, just drag it from the activity list to an entry in the project list like this:
You can also just drag files and applications from the Finder.
The properties of a project can be changed by right-clicking it and selecting one of the available options.
You can also create project folders: Just drag a project onto another to add it as a sub-project.