The project file is a special format which stores all of the changes you have made to your images in PhotoKey, so you can open the project and resume editing them at a later date, if you wish to. When you want to Export your images to create final composited images which can be viewed elsewhere, outside the program, you use the Export toolset (Batch Export in the Pro version). You can choose the format and actually export the images using the Batch Export toolset.
The free video tutorials
go through the entire workflow in PhotoKey, and might help get you up to speed on the software. In particular, you may want to take a look at the Exporting