The Projects tab on GitHub is related to a kanban style project board that can be created to manage issues, notes, and pull requests within your repository.
For step 3 of this course, it's asking you to move a local project that exists on your computer up to GitHub. You can do this a number of ways as provided in the course instructions but you'll need an existing Git project to upload to GitHub.
Let us know if you continue to run into issues.
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