There are a few possibilities to correct this. First, did you save the file? If so, make sure it has been added to the project. It should appear in the project panel on the left side of the screen. To add the file in the editor, you can right-click on the editor tab at the top of the screen and select "Add Current to Project," which should place the file into the project tree.
If your file is currently part of the project and you continue to receive this error message, open the project options dialog by selecting "Project..." from the Options menu. Make sure that "Always Regenerate Makefile" is checked. This option forces Simply Fortran to regenerate the makefile every time a build is requested.
One last thing to check is that the file you created has a recognized extension. Simply Fortran recognizes most common Fortran extensions. I would suggest making sure it is either "file.f" or "file.f90."
Hopefully one of these solutions works for you. If you're still having trouble, please post again and we'll sort the issue out.