If you want to protect all HTML-files that make up your web site, press the 'Add a folder…' button on the 'Files' tab and select the folder on your local storage device that contains your web site files. You can remove files that need not to be protected from the project (use 'Remove' button — it will not delete a file from disk, rather it will only remove it from this project).
When you create a new project you can add all HTML-files automatically.