If the end result is for the entire project to be contained in one folder that will be maintained by your application, then why even mention that a folder is being created? That's something that the user doesn't need to know at the point you're describing, because it sounds like the project has to be contained within a folder.
Therefor, I'd use the simplest language possible and would stick to just Save and Open when dealing with your projects. This is what Logic Pro, Xcode (in my experience) and a lot of other applications that create project folders do, even when the project file the user needs to double click is contained within the project folder. It is very likely that the user will not be confused by this, as long as you have an obvious project file with an obvious icon contained within the project folder.
If your app is on Mac OS X (I know in your case it is not), then you can use a bundle, which is a folder that looks like a file to a user. GarageBand, TextEdit (with RTFDs) and many other Mac apps do this. It is probably the simplest way to do what you're after, because the user considers the bundle to be a file at every step of the way.
It sounds like you wish to let the user know that a folder is being created and some files or folders inside that folder will be created, but you'd like them to react as if a project file was being saved. I think this simply might be too much information to convey and yield no benefit for you or the user.