Hi Marco and welcome to the forum!
A Project is just a folder which contains a specific subfolder structure and contains all files so you can easily transfer it to another computer. This is persistent so if you close and reopen HISE it should stay in the same project.
A Preset is the actual instrument and you can save it using File - Save and so on. I admit its a little bit poorly named - maybe "Patch" is a better name for it...
Once you created a project it will automatically save the Presets in the Projects subdirectory Presets and you should be able to load it from the file menu.