Until lately I have created a project by simply opening a Wave or other audio file in Audacity. That created a project. Then after editing it I exported it as an MP3 and also saved the project itself in case I wanted to do further editing. Now, when I open an audio file, it is treated as a file and not a project, so I can’t save it as a project. I receive an error message: “‘Save project’ is for an Audacity project, not an audio file.” The only thing I have done between then and now is to click “Reset Configuration” in the Tools menu; however I trashed the program and reinstalled it, thinking to restore it to its previous state, but without success. The user’s manual never treats the question of how to create a project. It is not (now) by just creating a new file. That results in exactly the same trouble as opening an audio file: It is just a file, not a project.
This is just a warning, not an error message. Just click on OK. Better yet, check the box that says “Don’t show this warning again”, and then click OK. 
I had typed out “I didn’t know it was possible to open an audio file without it being in a project. Maybe I have something to learn here.” but then jademan posted, and I guess I was right!
Regardless, strictly speaking the answer to your question is you could create a new project with File > New, and then use File > Import > Audio to select the wav or other files.