What's a Java Project

Embarrassingly speaking, I don't know what is a Java Project exactly now although I've used it for several months. What's a Java Project? Is one project only set up to do one work? This problem puzzles me all day long.
Suppose here I need to do one work, which can be divided into three steps and conquered. Each step can be regarded as a smaller size work too. In this case, which is better, to set up a huge project to fulfill the overall work, or to set up three small projects for the three sub-tasks and then combined them together?
Samuel said it depended on my problem. Since now what I am touching is some small problem, I may only need to set up one project to include all of my problems as sub-tasks.
Usually a project can be considered as a system, from which a program for application will be generated. A project can have more than one Main function, and be compiled into more than one Jar files according to demand.
A small system can only have one application while a large one can have more. Meanwhile, a huge system can be composed of several smaller system, which in turn have several applications hierarchically.