I'm not sure what project files you are talking about. If you talk about "r3proj", it's just a convenience feature to create shortcuts or open projects directly in Windows Explorer. (There is no such feature in RM2k, by the way, only RM2k3.)
You can open any project (regardless of whether it has an r3proj file or not) by just using "Open Project" in the RPG Maker (after closing the currently opened project, if any). You have to click the "..." button and select the folder one level above the project's folder, and then the project will appear in the list. For example, if the project in question is stored under C:\ABC\DEF\GHI (so that the EXE file is then C:\ABC\DEF\GHI\RPG_RT.exe), you have to select the C:\ABC\DEF folder, and then the GHI folder will appear in the project list.