PRJ is the 3D Studio Release 4 project-file format.
When you import a PRJ file, you can merge the imported objects with the current scene or replace the current scene completely. If you choose to merge the objects with the current scene, you'll be asked whether you want to reset the length of the animation in the scene to the length of the imported file (if the imported file contains animation).
You'll also be asked how you want 3D Studio MAX to handle shapes in the incoming file: to make them into a single object or multiple objects.
The following control appears in the Import PRJ File dialog.
Import Shapes: Select this option if you don’t want to import shapes from a .prj file.