You must create a Project first. Select File | New Project..., then follow the instructions.

You mean I have to create a full-blown Project just to compile one simple Java file?

Yes. This seems like a lot of work for one file, but it is rare that a Java program contains only one source file. In the real world Java projects contain many, many files. Then you will see the power of having a project.

But what about when I'm just trying to test something new?

I keep a special project around for that purpose. It is named "TwoPoundsOfFlax.jpx", and contains only test classes. Some test classes I keep for a while, some I throw away.