One of the pain points in previous versions of Project Server is the ability of a two-way sync with the Project Issues, Risks and Documents from Desktop, without having to go into the Project Workspace every time.
The ability to do a two-way sync with applications like Access, Excel was there in 2007, but that was more for lists than libraries. In addition, Libraries could be added to your local network connections, for an windows Explorer like interface, but that would mean that the metadata could not be managed properly.
Because Project Server 2010 is based on SharePoint 2010, that opens up the option to use a pretty neat tool, the SharePoint Workspace.
What this tool does pretty much is offer a desktop version of your lists and libraries, which you can carry even when you are offline. (yes that includes documents as well).
Accessing the SharePoint Workspace
On any Project Site, go to Site Actions and click on Sync to SharePoint Workspace
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The first time you sync, you will be prompted to create a workspace account. Once you finish creating an account, the sync process will start.
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Once it is synced up, then you can pretty much manage all the lists and libraries within the site, from the workspace.
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To avoid duplication of effort, I will redirect you to these links for more information:

Another interesting feature of the Workspaces is that they can be synced to External Lists as well. I am currently exploring ways to take advantage of this capability. Will post something on that topic very soon.