Save them in the projects folder. It's the default and if you need further help we will already know that you have them there and can eliminate that problem..

Saving them in the Projects folder that is default is definitely the easiest way to do it, but you do not "have" to do that. You can set your default projects folder to be anywhere you like in the settings and it works fine for that. My guess is that you have the FTP settings setup incorrectly so I would check to be sure they are correct. Most (not all) servers require the remote directory to be listed like so:

/public_html/

But there are different ones, so be sure what your server requires it to be. The forward slashes are usually what gets people messed up as they forget one or the other or both and it won't detect your remote directory without them.

Not sure if that is the issue, but that's what it sounds like to me. Also check to be sure if your server requires the Passive setting or not. Some do, some don't and that will also stop you from connecting if you have that checked and it shouldn't be, or you don't have it checked and it should be. You can just try it either way too and see if it works.

Hope that helps some and good luck with it.