Hi,

Go to menu File | New Project from Existing Files:

Then choose "Web server is on a remote host, files are accessible via FTP/SFTP"

I attached the screenshots for PhpStorm 5.0.4.

Here is a video for PhpStorm 3.0 (but there is no significant difference in creating project from existing files): http://tv.jetbrains.net/videocontent/working-with-remote-project-in-phpstorm-and-webstorm

Btw, the direct work with remote files is not supported (good performance is not guaranteed).

Make sure that bundled "Remote Hosts Access" plugin (which is responsible for FTP/SFTP/FTPS/etc functionality) is enabled in "Settings | Plugins".