The first thing we do after opening the ProTools application is create a new session by going to File-->New Session.

Once you are in this screen choose where you want to save the session.  I usually just save it to the desktop and then later to my dante account ("save to your account" icon) or flash drive.   Saving will create a folder that contains the session data (.ptf) and an Audio Files folder (this holds all the audio you record and import--your session will only read the audio in this folder so make sure it stays in your Session Folder).  The other settings will be set to the best options as shown above.