Trouble creating GAE project

I'm trying to create a Google App Engine project in IJ 13.0.2. According to the docs, after creating the project I need to "Open the file appengine-web.xml located in the WEB-INF directory."

There is no WEB-INF directory (and no xml file) created in the project directory. Should this be created automatically, if not, where does it go? In the project directory?