Your issue description is a little unclear; what exact problem are you having here? It looks like you can open projects because the screenshot shows many projects (or folders) open, and it looks like you can open files because files are open in the visible windows.
If the issue is that every time you do something you get a new window, there's an option to disable that. If the problem is that every time you start Sublime old windows comes back, there's a setting to turn that off as well.
Generally speaking on MacOS things are configured by default to work in a "MacOS'y" way, so perhaps your problem is that you're not closing windows when you're done with them?