This was a particularly frustrating one, but it’s really simple to resolve.
This is a simple problem of screen real estate. When the dialog is not long enough vertically, the part that is shrunk (down to nothing!) to fit is the Build Target selection box. The only way to get it to show up is to expand the dialog vertically – you may have to increase your screen resolution to fit it all in (I found this out while working on an Eee PC – a screen height of 600 pixels won’t cut it!).
For completeness, I should probably mention that your SDK comes with no build targets – you have to download some after unzipping it. But if that’s your problem, you should still see a white space in the Build Target selection box where the targets would be.
This is a pretty strange design problem. Seems to me it would make more sense to occlude the bottom of the dialog in this situation rather than something essential in the middle. Or just put a scrollbar on the dialog!? I found a few other people complaining about this problem.