A "Space" in alfresco is a special type of node for storing documents in. You can associate rules, permissions and actions with spaces.
A "Web Project" is a very special structure of nodes which are associated with the wcm machinery. The contents live in a different store and have features such as sandboxes. If your content is ultimatly destined for a web site then it should probably go into a web project rather than a regular space, you can then use wcm to manage those assets.