Hello, I am a real noob

Hey guys, I want to build a desktop application, I am a real noob first of all, talking about how all this works, I've scripted in PAWN for 5 years for a game and I also do PHP, HTML, CSS etc... but now I want to make my first desktop application and I've choose IDEA for it.

So I've opened it... and created a new project as JavaFX..., it tells me Project SDK is not defined, where do I get a SDK from and what SDK do I need?

Also how can I preview my application, something like Visual Studio run button.

Thank you guys :D