PRJ files are used to manage and compile AutoLISP source (LSP) files in the Visual LISP IDE (VL IDE) available with AutoCAD 2020 and earlier based products on Windows only. The AutoCAD AutoLISP Extension currently doesn't support PRJ files, you need to manage your LSP files in the folder open in VS Code or directly through the filesystem of your OS. LSP files can be compiled without first being added to a PRJ file, see Compiling AutoLISP Files for more information.