ERROR: Android Pre Dex: [FILENAME] Android SDK is not specified

Hello,

I am creating a Java program using IntelliJ IDEA 11.0.2, but when I try to Complie or Run my program I get this error "Android Pre Dex: [FILENAME] Android SDK is not specified". I am new to Java development, and do not understand how to fix this. 

I have tried to add the Android SDK to the Project Structure->SDK-> "+", but even after I had done that, I still get the same error.

Any advice?

Thank you