We can create nested folders when saving a project template. But if we could see folders in this menu, we could access them. At now I use Media Browser in The Cakewalk to access these folders in the Project Templates folder. I open a template, shortly after that I save it as a project file in a different location. If I make some changes and forgot to save it in a different location, it saves on to that project template file. But if we have folders in that New Project File menu, we can