The easiest way to create a new project is to make a copy of one of the existing examples. If you are using the command line makefile process this only involves making a copy of the folder with the example code in the same root location (usually C:\projects\vex\cortex\projects).

If using the eclipse IDE you can right click on the project in the project explorer window and then select paste. A dialog will ask for a new project name and location. An example where I was making the flashing Led example shows the following dialog.

Paste project dialog

When browsing to the new project location, be sure to make a new folder under projects, it does not have to have the same name as the new project but is best if it does.

New: An eclipse "new project" plugin is now available. Installing eclipse