If I understand you correctly your problem is understanding the difference between saving as a .proj or as a .capx. Project or as a single executable file.
Saving as a project keep your folder tree open and reduced load time with huge builds.
Saving as a single .capx makes your project compressed into an executable file that neatly contains all your assets for you. The only problem with single file is HUGE projects tend to take longer to load than project (.proj) ones.
I would recommend using the single .capx method. I save to the same .capx (keeping a backup or two periodically saved to dropbox via internal option) whenever I make a major change I save as a new .capx version number... mygame.capx - mygame-1.capx - etc. Makes keeping them organized in a versions folder much easier and I can go back to an older version if I learn my new change just isn't fun or working as I wanted.
Construct2 will open multiple pojects/capx into the same editor session.. this is handy when you want to copy out code blocks from other projects/capx. They are added to the editor tree in the order you opened them so you simply need to find the start of each and close them from the tree view (right click option I think).