FrontPage refers to every Internet site you create as a "Web". So, when you want to build a new site, you need to go to the File menu and choose New > Page or Web...
The files in your new Web will be stored in the My Documents\My Web directory on your hard drive. Each new Web you create will be stored in a numbered folder, such as myweb3, myweb10, etc. You can change this if you would like.
