You need to create a composition inside your project. The video apps (AE, Premiere, Audition etc.) work a bit differently than Photoshop and Illustrator: there's another layer of structure. Instead of being just the thing you're working on itself, the "project" is a container for all the relevant media assets you plan to work with, and you can have multiple sequences inside that project that use those elements. In After Effects, those are called compositions.
Here's a super useful walkthrough to help you get started: Get to know the After Effects interface |