The Project window will display every file within your project that you have either imported or created within Unity, such as models, scripts, plugins, and so on. Everything within your Unity project is (and should be) contained within a folder structure, with the Assets folder being the root—or parent folder, like in the following screenshot:
When you select a folder within the Project window the contents will be shown in the panel to the right, like in this screenshot:
In this image, you can see the various Sprites that have been cut from the Sprite Sheet for Angel Cakes.