After configuring box to create a new website project, I get "cannot create file [folder name]*******.cpf"
What am I doing wrong?

You just create a html file, and then you save it in the folder. The folder itself does not have a file extension, but there will be a file inside it called foldername.cpf ('foldername' just represents the name you gave your folder). It is there to tie together everything else you add to the folder so that it becomes a project.