If you need to select a new project folder, you can click the "Select New Project Folder" option on the Project tab. Note: you probably don't want to use this feature.
Any existing files will remain in the old project folder, as will the project file. This only designates where newly recorded audio files will go, and where the backups will be stored.
Why use it? If you used the Copy Project Files option and wanted to, but forgot to designate the new folder as the project folder, this would come in handy. Or you could use it to switch back and forth between two copied projects to make an A and a B version. Things could get confusing fast.