I offered a reply, both explaining why CFB has a project-oriented nature (being an Eclipse-based product) and also how they could be seen akin to DW "sites". Still, I appreciate the difference and the challenge to newcomers.
But most important, I explained how the Aptana plug-in built-into CFB does indeed offer a solution for him, in its "Untitled Files" feature, easily accessed from the File>New dialog. This would let him create a new file without need of either naming the file first or picking a project (whether when creating the new page or when saving it).
It's not an obvious solution, but I show how it can be made to be easily accessible with a single keystroke.
Rather than repeat myself here, I'll just point interested readers to the forum thread, "Creating a new file". Perhaps others will share more insights after mine, and feel free to leave comments here or there as you see fit.