It's good practice to efficiently organize your media and files to make editing easier:
Create a Project Folder in your computer's Download or Video folder.
Inside the folder you created, create folders for each form of media you are using (Videos, Audio, Images, etc.)
Dump your media files into each folder
Go through your media, delete (or move to a new folder just in case) any files you don't need, and rename the good files to something distinguishable.
Setting up your project correctly from the start will make your job much easier as you work through your project.
When starting Premiere Pro, you will be prompted to start a new project.
To create a new project within Premiere Pro, click New Project. This will open the Project Settings dialog box.
Here you must set:
Name: This is the name your project will be saved as.
Location: Set the location to the folder you created.
Click CREATE.