To open a different project, use the Project > Open Project command (See: Open Project.) Source Insight only allows you to have one project open at a time, so if you already have a project open, it will ask you if you're sure you want to close the current project and save any changes to files. Assuming you do close the current project, the Open Project command will display a list box of existing projects from which to choose.
To close the current project and have no project open, use the Close Project command. Source Insight asks you if you want to save each file you have opened that you've changed, then it closes all files.