So, lets answer your questions one by one:
A project in IntelliJ is your project ie the workspace within which you are working. This usually corresponds to one git repository usually.
Module is an independent unit within a project. If you are developing a modular application with multiple modules with each having its own pom.xml and a parent pom.xml at root level IntelliJ will be identify each module folder as a separate module within the project. All projects need not contain intelliJ modules.
SDK is the SDK which is available on your local machine which IntelliJ will use to run your code.
Language level is the version of language (Java) for which you will write your code. This is not same as sdk version. If you use java sdk version 21 but your code never uses any language feature beyond java 8 then your language level is 8. By setting language level explicitly to 8 you are telling IntelliJ to compile your code as per java 8 standard and you will not be able to use any language features beyond java 8 in that code base, even if your jdk and sdk version is higher.
JDK is your JDK present on your local machine which IntelliJ will use to compile your code.
I hope this clears your doubts. I choose to answer even after seeing 4 down votes because I feel for someone who is a as a beginner IntelliJ can be overwhelming and experienced programmers take these kind of basics for granted when it is far from obvious. Kudos!