When working with a large PB project involving multiple source files, give your UltraEdit project the same name as the primary source file (this is probably the same as the executable program name and will normally come naturally anyway) and store the project file in the same directory as the primary source file.
Then, when working with the project open, invoking a "compile" tool will always compile the primary source file (and hence the project), whatever source file is currently active in the editor - the one exception to this is if an RC file is currently active - then the resource script is compiled.
If working with a single source file program there is no need to define a project. If there is no project, the currently active file is compiled.
Before invoking "compile & debug", ensure that the PB IDE (supplied with the compiler) has been opened directly at least once and at least one source file has been loaded into it. This is because in opening the PB IDE for debugging, PBShell replaces the most recent file on the "File" menu with the required filespec. If this menu location does not yet exist, this process will fail.
You will probably also want to add the PB help file, and possibly the API help and resource compiler help, to the UltraEdit "Help" menu. This is easy to do using the "Add Help Files" item on the "Help" menu. You could add MSDN Online and the PB Forums also, but because I have a relatively slow internet connection, I have chosen to add the SDK documentation and POFFS as further user tools on the "Advanced" menu.