DEX integrates all the data for a design into a single project file.
A project file is a self contained XML file (with optional compression), that contains all the details of your design. It does not rely on any external files.
The project file contains:
1. Zero or more schematics.
2. Zero of more text documents.
3. The PCB for the project. -- A project can only contain one PCB.
The schematics and text documents can be arranged in a hierarchical fashion or left in a flat arrangement.
The schematics are firmly attached to the PCB and DEX's internal data structure ensures that the schematics and the PCB are always in sync. Any changes to a schematic are instantly reflected in the PCB. Likewise, any changes in the PCB are immediately reflected in the schematics.
To create a new project select the New Project button 
in the Home tab of the ribbon menu.