I also change the
Preferences > File > File Locations "Project Files" and
Preferences > File > Audio Data "Global Audio Folder" to the same location "E:\Cakewalk Projects".
A Cakewalk project is in it's own folder on "E:\Cakewalk Project". For example, a new project "My Project" would create:
E:\Cakewalk Projects\My Project - a directory containing the .cwp file
E:\Cakewalk Projects\My Project\Audio - a directory containing the audio for My Project.