Moshe…I think you need to change your user settings and let Mavensmate know what folder you want to save your projects to (the mm_workspace setting). A project is a connection to a Salesforce org. The folder (or folders) you specify will be where Mavensmate saves your Salesforce metadata (i.e. objects, pages, workflow; etc.).
From the screenshot you included, go to MavensMate->Settings->User. When you see the user settings file, change the ‘mm_workspace’ value. Here is what mine looks like:
"mm_workspace" : ["C:\Users\mccullouw1\Documents\mm","C:\Users\mccullouw1\Documents\Git"],
