But I dont get that option from Changes menu. You are right. This is one of the changes from 2.5 to 3.0 of VisualWorks. Projects are being downgraded. I think there is a parcel that you can use to get them, but I've never used it.
Projects provide two features.
One is a new desktop, i.e. a new arrangement of windows. The second is a new change set. In the new way of doing things, you can get a different change set by opening the list of change sets and selecting a different one. There isn't a way to get a new desktop, but I guess they figured that was not very important.