The "Empty project" is just a placeholder for new projects. You can naturally use "File->New project" but jAlbum has a special case where one can drop a folder onto the "Empty project" to create a project. In this case, the dropped folder becomes your "Image directory" (historical behavior). The advantage of this project type is that changes to your original image directory is automatically picked up by jAlbum.
I might add a preference to automatically open the last open project, but now that you know about CTRL+1 I guess it's a no brainer