When saving a project, ZBrush will create a single file that includes all the loaded Tools, canvas document information, Timeline animation and more. In essence this is a simple way to save your whole ZBrush session, so that at a later time you can reopen it and continue your work exactly where you left off.
To save a Project go to the File palette and press Save, or hit Ctrl/Command+S on the keyboard. You can open a project at the same location or by hitting Ctrl/Command+O.
Please keep in mind that when opening a project, any currently loaded 3D Tools will be deleted! Also, Project files can become extremely large, especially if Enable Saving is turned on for Undo History.