There is no connection between the folder where a model is to be saved, and the RFEM or RSTAB project.
When you answer the question "Do you want to create a new project for this directory?" with No, the model is saved in this directory. However, it is not assigned to any projects then. As a result, there is no project name in the printout report, for example.
Therefore, models should always be assigned to a project. The project itself only represents a connection to a folder. Project Manager provides an overview of all projects. Therefore, answer Yes. Then, a new dialog box opens and you are asked to enter a project name for the existing directory (see Image 01).
If you want to disable the message altogether, you can open a dialog box with the corresponding setting option using the Project Manager menu "Edit → Program Options" (see Image 02).