When Android Studio says "please select Android SDK" when trying to run

Recently I helped some people (including myself!) who couldn't run apps from Android Studio because it instead produced the Edit Configuration dialog with an error at the bottom reading "please select Android SDK." This happens when the project is targeting an Android version that the current Android Studio instance doesn't have installed. It can be corrected by using Tools | SDK Manager to install the appropriate SDK version. The change might need a rebuild or an Android Studio restart to take effect.