Note: this video is also posted as part of Maya Basics: Project, Shortcuts
When you start working in Maya, the first thing you want to do is set your project. That way you know where your files get saved, and the program will know where to look for texture images, etc.
Remember to always check the current project when opening Maya, you can find this at the top of the new project window Usually the top entry under File > Recent Projects > is the current projects