I've installed Julia, Atom and Juno. I used to think that before you start coding anything you should create a project, but I can't find "New Project" item in Juno IDE.
Does Julia support the notion of project? If yes, how could I create a simple project, add Julia files to it, run it, etc?
Yes - in Julia the concepts "project" and "package" are essentially synonymous - you'll follow the same folder structure, assign a license etc. Currently, the best way of starting a new project is to use the PkgTemplates.jl package (https://github.com/invenia/PkgTemplates.jl). To work with projects in Julia I'd greatly recommend reading the project documentation: https://julialang.github.io/Pkg.jl/v1/
None of this is unfortunately implemented in Juno yet, but there is an open issue for it: https://github.com/JunoLab/Juno.jl/issues/175