If you're looking at a Challenge and want to find the Project that the Challenge is tied to, you can find the link to the parent Project at the top of the screen just above the Challenge name.

You can find the Project name, Project type, how many Challenges are in the Project, Project thumbnail, and you can even navigate to the Project by clicking on the 'View' button that's located in the top right corner of the page.

Please note that Challenges are not required to be a part of a Project, so some may not be associated with a Project.