1) When you have created a project already, choose "1: Project" on the very left side, then "Project" on the drop-down-menu just right of it - you should see the full project now.
2) Go to "File" - "Project Structure" and click on the green plus on the left side. Choose "Import existing project" and browse to the directory where you downloaded AndEngine and import it. Repeat for the PhysicsBox Extension.
3) Go to the Project Structure again and click on "app". Now go to the "Dependencies" Tab and click the green plus on the right side. Choose "Module dependency" and add both AndEngine modules.
4) Open the default activity you have created and try changing "implements Activity" to "implements SimpleBaseGameActivity". You will need to import it and implement all missing methods. If that works, you have successfull set up AndroidStudio with AndEngine!