A project is a representation of the source files (with dependencies) and build commands used to create your application or program. You create a project using a wizard and the resulting project is displayed in the COBOL Explorer view, from where you can open your source files.
An Eclipse project consists of a directory, project settings files and at least the contents of the directory. This means that only one Eclipse project can exist in any one directory. Eclipse projects build their sources to just one form of output (such as an executable, an .exe, or a dynamically loaded library, a .dll) which you control using the project's build configurations.
Projects have a type (such as COBOL JVM) and you create them using a wizard for the appropriate project type. The type of the project determines how the project node is decorated (what icon is used for it) in the COBOL Explorer view inside the main Eclipse window.