I hope you have v11.20 of UltraEdit because my step by step explanation is based on this version:
1) Make sure you have the project menu in the main menu and not in the file menu. If the project menu is in the file menu, check option Project menu on main menu at Toolbars / Menus - Miscellaneous of the configuration dialog. It is not really necessary to have the project menu in the main menu. But if you will work with projects it is better to have it in the main menu for quicker accessing the project menu items.
If you don't see the Project menu neither in the File menu nor in the Main menu, you have the Basic menu and maybe also the Basic toolbar configuration active. Use the buttons in the Management section of the Toolbars / Menus configuration dialog to switch to the Advanced menu and toolbars.
2) Click on Project - New Project/Workspace. A dialog opens where you can enter the name of the project file. The file extension will be automatically .prj. So do not enter a file extension. Before pressing the Save button choose the folder where the new project file should be saved.
3) After pressing the Save button the Project Settings dialog is automatically opened. First you should Browse to your existing Project Directory. Next you have several options. You can add the current Active File or All Open Files with the appropriate buttons. But I guess, you have currently no project file open, so this is for later use.
4) There are 2 possible methods for handling files in subfolders with a project: You can create project groups with names identical to the names of the subfolders and add the files in the subfolders to the appropriate folder groups OR you can add whole folders with all files matching a specified filter.
The folder method does automatically detect new files added to the folders and matching the filter criteria. But if you remove a file in a folder or a complete subfolder via the project settings dialog, it will not be only deleted from the project file, it will be also deleted from your hard disk.
The group method does not automatically detect new files in a folder. You always have to add the files manually with one of the 3 add file buttons. But if you remove a file or a whole group, only the appropriate entries in the project file are removed. No file or directory is removed on your hard disk in the project directory.
You can also mix these 2 methods inside the project, but I think this is not advisable, at least not without giving the groups a name so that you know what is a group and what is a folder.
5) If you want to use the folder method, you should first check the option Include subfolders in folders at bottom of the dialog and you should specify a default project file filter, for example *.html;*.css or *.c;*.h.
Now press the Add Folder button and uncheck the Group option.
Note: You can only add folders, if the project name in the list of directories/files or a folder name is currently selected. If no item in the list or a file has the focus, the Add Folder button does not work.
You now can specify again a filter only for this folder (and subfolders) you will choose now or if you enter nothing the default project file filter is used from the project settings dialog. Select the existing folder and press button OK. The filter specification for this folder can be modified later by pressing the button Filter in the project settings dialog if the folder has the focus.
Note: You cannot modify the file filter with the Filter button of automatically included subfolders, only for the folder you have really added because only this folder name is stored in the project file.
6) If you prefer the group method (like I also do), you first have to create a new group (maybe with the name of an existing folder) by clicking on button Add Folder which only works, if the project itself or an existing group has the focus (= is selected) in the list. Make sure the Group option is checked, add the name and press OK.
Next select the group in the list and press the Add File button. A standard file open dialog is displayed where you can specify 1 or more files (with CTRL or SHIFT key). After you have selected all the files of the directory according to the group name in this file open dialog press the Open button and the files will be added to the project to the specified group.
You have to redo this procedure (create group + add files) for all subdirectories in the group method. Sorry, there is no "import all files matching a filter criteria in all folders from a specified folder and below as group" function.
If you have a really big list of subdirectories and you want to use the group method I could develop a macro for you which does the missing "import all files matching ..." function because the project file *.prj is a text file and a Find In Files search result can be converted into an appropriate UltraEdit project file with a few macro commands. Currently I do not have such a macro, but I think it would not be too difficult to write it. You can open and edit the *.prj file if you open it via the File Open menu item of UltraEdit.
Wow, that post becomes really long and takes me more than 90 minutes to write it.