Selecting this will cause the New project window to pop up:
If you don't want to create a new project, but just a new subtitle file, click cancel. Then all data are erased and a new document made ready. Both file and/or project are untitled and can only be saved with the Save As option. It will, however, be backed up normally. If you want to save as project, you must use the USF option.
Ctrl+N
See also: