Select Java Project and then next to Project SDK select New -> JDK
The installation process will give you an interactive interface (similar to finder) to locate the file.
At the very top of the window select "Computer", then follow the directory path Macintosh
HD/Library/Java/JavaVirtualMachines
and select the folder jdk1.8.0_45.jdk (or whichever is the current version that you are installing).
Click Next then click Next again.
Name your project and click Finish
Open Project manager (Default hotkey CMD-1)
In the project menu that you just opened right-click on the src folder -> New -> File