Only one project can be open at a time. If you create or open another project file while a project is open, After Effects prompts you to save changes in the open project, and then closes it. After you create a project, you can import footage into the project.
Jeff Almasol provides a script that creates and saves a new project for each selected composition in the current project:
http://www.redefinery.com/ae/view.php?item=rd_NewProjectFromComp
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