To create a new BackStreet Browser project use the button "New" in the application toolbar (main menu item File\New; shortcut Ctrl+N). The Project properties dialog will appear where you should set your project's parameters. The most important parameter if a project is its primary URL. The button "OK" in the Project properties dialog will be disabled until you set the primary URL.
After you have set the parameters as necessary, press the button "OK". BackStreet Browser will automatically start downloading files according to your settings.