How do you create Module SDK in Project Settings / Modules / Dependencies for Scala in IntelliJ Idea?
I'm assuming you mean Project Structure -> Modules -> Dependencies
You can just click on the Add...
button in that view. A "Module" here is simply a Jar file or directory containing classes.
You wouldn't normally do this though. A better approach is:
or
Either way, the correct dependencies will then be created for you.
UPDATE
Based on your comment, it looks as though your problem is that IntelliJ doesn't know where to find the Java SDK (this is nothing to do with modules, it just happens to appear in that window)
Under Project Structure -> Project, you'll see an option for "Project SDK" with the value "" highlighted in red.
Click the new
button beside this, select "jsdk", and point it to the directory where you installed the Java SDK.
Then all should be good.