Terje,
There are different options under "Project name" > Details > Actions for creating a new project as a copy of an existing, exporting or creating a template for new project including more or less of project roles, participants, folders plan etc.
Note: Access to all of this might require that you have sufficient permissions in the project (have Project Manager role) ... So talk to your local Windchill admin.
Here is an entry to the online help: http://www.ptc.com/cs/help/windchill_hc/wc102_hc/index.jspx?id=ProjMgmtPlanImportExport&action=show
If it's just export/import of files in folders and sub folders there is also: Folders > Actions > Export to Compressed File and Folders > Actions > New > Import from Compressed File