Select the port corresponding to your Arduino from the Tools -> Port menu. windows will assign new port numbers if you plug it into a different port.
If that menu is greyed out, that means you don't have drivers for the Arduino installed, or there's a hardware problem. If you're using a clone arduino instead of an official one, it probably has a CH340G USB-serial adapter; the drivers for that are not included with the IDE - google will find you the CH340G drivers for your operating system.