Each Source Insight instance allows only one project open at a time. You can have multiple instances of Source Insight running - each of which can have a different project open.
Sometimes Source Insight will open other secondary projects to search for symbol declarations. These are background projects and you will not be aware that they are opened or closed.
Throughout this documentation, most discussions assume that you have a project open, unless otherwise stated. Whenever there is a difference in the way a command works with and without a project open, it will be noted.