I could be wrong here but I am pretty sure that there is no "setting" that makes the PRJ folder create automatically, this is manual, so you can either create the PRJ folder in the directory where the QVW exists, or not create it.
If the PRJ folder exists, you cannot have one QVW document creating XML versions of its objects, and another QVW document not creating them, the fact that the PRJ folder exists means that all QVW's in that folder will create XML files.
So, short answer to your question is, delete the PRJ folder.
It sounds impossible but I have tried in two directories. I deleted all the prj folders, it works for one directory where even I create a new qvw file, reload and save, the prj folder does not come out any more. While for the other directory, I do the exactly same thing, prj folder is still automatically created.