If you're on the Free, Starter, or Growing Business plan, you can create projects both from the Mac app and the Windows app, Projects page.
If you're on the Organization plan and creating a project for your organization, make sure that you've selected the organization first, from the menu on top.
Next up:
Choosing the correct project type and density
Exporting designs from Sketch
Exporting designs from Adobe XD
Exporting designs from Figma
Exporting designs from Photoshop