When you undertake a production using Maya, you need to setup a project directory. This is a series of folders or directories that house all the files needed for your project to run as expected.
This includes files such as scenes, textures, reference imagery, scripts, renders, dynamic calculations and much, much more.

Launch Video (4m 43s)

Tutorial Overview

The first thing to do is create a new project directory by selecting:
File > Project > New...

Give your project a decriptive name, choose a location for the project to be stored and click 'use defaults' to generate all the required sub directories.

* image: creating a new project directory

It's also very important that when your transfer your project directory to another location, computer or you have just opened the software again, that you set the project directory location, so Maya knows where everything is supposed to be.
File > Project > Set

* image: Set the project directory