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The videos are using earlier versions of OmniFocus, and this is an example of something that has changed.

Projects don't appear in the context menu; did you mean the context view window?

The underlying notion here is that any parent row (which includes projects) has an optional context. When you create a child row underneath a parent, the context for the child will be defaulted to the context of the parent, or left blank if no context has been set for the parent. However, if you want a different context for the child, you just fill it in. If you are creating a project or action group where most of the actions have the same context, this can save you some effort, and it doesn't make for any more work in the case where the actions have many different contexts.

Now, when you look at a context view, you may see those project and action group "actions" (in other words, the parent rows), or you may not. The parent rows are not considered available until all of the contained actions have been marked complete. So, if you are displaying only Available actions or Next Actions in your context view (those actions which can be done now), you probably won't see many parent rows. If you are displaying Remaining actions, you'll see all of the parent rows.

When you see an available parent row in the Context view, that means it is time to either add more actions, or mark that parent complete. Some people like to flesh out their entire project at the outset, and others just put in the first actions to be taken, and repopulate as they are completed. Both are valid working styles.

If you don't like seeing the parent rows, you can make them disappear by either displaying only Available or Next Actions (which hides all but the ones awaiting immediate action), or by using View->Hide Parent Items in Context Mode, which removes them from the display entirely.