Thanks a lot for pointing out the problem, Jeff! It's really important that these set-up documents are reliable, because the difficulty of getting everything set up the first time is really big for AIR projects.
I had a look at the IDEA setup description, and that right-click part did work as described for me! Are you on a Mac or on Windows? Perhaps it works differently on Windows (I tested everything on a Mac).
In any case, I added an alternative way of adding the library sources to the project. Does that work for you, maybe?
Thanks in advance for trying it out!