Project file is a text file containing information about the layers you loaded, what projection you used, layers' styling and so on. Layers data are stored independently and they can be a file (many formats available, shapefile is just one of them) or a database table.
The RiverGIS uses a PostgreSQL database for storing data. If you want a shapefile of one of your layers, simply right click on the layer in the layer tree and pick Save As...