When you first open Final Cut Pro, you must set a ‘Scratch Disk’. A Scratch Disk is where your project is saved along with every movie, song, picture, etc. it uses.
To set your Scratch Disk:
Once the Scratch Disk is set up, Final Cut Pro should open completely. Immediately click File > Save Project As and save the project in the Scratch Disk you made. This allows Final Cut Pro to save periodically as you work. However, it is recommended you save manually throughout working on your project. You only need to click File > Save Project at this point.