I am a long time eclipse user and I have started to play around with IntelliJ IDEA.
So from my understanding, a project in IntelliJ is the same as the Eclipse worksp
Just move the file directly to the project folder which calls Java (and something under the blue-blurred stripe you made :P).
If that doesn't help, then move the test123.txt file to FirstJavaProgram directory.
You can also change filename to one of these:
src/test123.txt
FirstJavaProgram/src/test123.txt
I am not sure which one will be fine in your case.