A project file allows you to "link" two files together so that the compiler can use the content from both. Functions from one file can be used in the other allowing you to keep collections of reusable functions separate from your main program. This makes your main program much clearer to read and debug.
The program that is run by the PICmicro is still main() so don't go defining it in more than one file in the project.
You will come across project files when you use the LCD screen, as there are large functions used to run the LCD screen that you wouldn't want to store in the same file as your main program.
Unfortunately we cannot provide the project files for you, as they contain references to other files. So for Exercises requiring project files you will have to make them yourselves (Life is hard sometimes).
On the right is a guide on how to make a project file.
You will have to use the .c files on your local machine. These are stored by default in the "C:\Matrix\C4PICs\C4PICs\C" directory.