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 about 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 prevent the message completely, you can open the dialog box with the corresponding setting option using the Project Manager menu "Edit → Program Options" (see Image 02).