Hello Xinhong Xiao ,

Please first save the file to a folder of your choice- for example- create a folder for the specific customer and save the file there.

Now you can use the Project Wizard to create the project- directing Studio to where you have saved the file.

Perhaps this video on creating project will help you

https://www.sdltrados.com/video/how-to-create-a-project-in-sdl-trados-studio-2019/152796/

Thanks for your reply! 
Actually I have chosen the folder in the wizard but I can not find it in the right place.

Hello Xinhong Xiao ,

When you open Windows Explorer and navigate to the folder (for example)

Do you see the correct files?

If you do, you should be able to navigate via Studio to that folder.

If you can't- please close Studio then reopen and Run As Administrator

Now try and navigate to that folder in Studio)