How come I can't build and run in PyCharm?

I installed PyCharm and created a new project. Then, I dragged a bunch of python files into the main panel of the IDE. One of the .py files I dragged had a main portion (if __name__ == '__main__':).

However, my run icon (the green arrow) looks disabled. How come I can't run? I already set my Python interpreter (2.7).
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The green icon in the toolbar runs the active run configuration. To create a run configuration for the current file and run it, right-click the file and select the "Run ..." action in the context menu.

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