Took me a while to figure this out as the documentation is not clear on this at all. Cancel the dialogue box asking for the Android SDK path and do the following:
Open Android Studio IDE. Find the down arrow icon, should be second last icon in the toolbar. Click that. You will see a path for Android SDK Location:. Click the edit link to the right of that. This will bring up the SDK Components Screen. If you can check the boxes there, check them. They may already be checked or they may be disabled. You can leave the path as is, for me its:
C:\Users\<user name>\AppData\Local\Android\Sdk
Depending on whether you had Android Studio before it may say it has detected a previous version and it will only download the components it needs. This is normal. Now click the NEXT button. A confirmation screen will come up with Setup Type and SDK Folder. If you want to change your SDK Folder this is your last chance, if not, click NEXT again.
It may bring up a Terms & Conditions screen, click the Accept radio button then NEXT. It will go and download the Android base SDK. When it's completed click FINISH.
You will then be taken to the Platforms screen where you can select which Android platforms you want to support. ie, Android 9.0 (Pie), Android 8.1 (Oreo). Select all the platforms you need then click APPLY.
The downloader will grab all those packages for you. Next, click the SDK Tools tab. Check the boxes of the tools you want and click APPLY. It may bring up a Terms & Conditions screen again, click the Accept radio button then NEXT. When completed just click FINISH and you're good to go.