You need to set up an SDK for Java projects as @rizzletang said, but you don't require to produce a new project, you can prepare it from the Welcome screen.
On the bottom right, choose Configure > Project Defaults > Project Structure:
Choosing the Project tab on the left will point that you possess no SDK chosen:
Just succeed the New... button on the right-hand side of the dropdown and designate it to your JDK. After that, you can operate back to the import screen and it should just reveal up.