Project settings affect your entire project, not just one composition. This is where you control things like color depth and working color space — stuff that matters for the final output.
Steps to change project settings
At the top, go File → Project Settings (or just press Ctrl+Alt+Shift+K (Windows) / Command+Option+Shift+K (Mac)).

A window will appear with several tabs.
Under Color settings, you can pick your working color space. For most people starting out, leave it at Rec.709 Gamma 2.4 — it’s the standard and it works.

The other thing worth knowing is the Video Rendering and Effects tab, where you pick your rendering engine. Mercury GPU Acceleration is the default and it’s faster if your graphics card supports it.

You’re good to go. Most projects don’t need anything else tweaked here.
One more thing
If colors ever look weird after you export, come back to Project Settings → Color and double-check that your color space matches your output. That’s usually the culprit.
Related how-tos
How to create precomps in After Effects
How to set composition resolution, fps, and duration
How to import video and images into After Effects
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