Go to the Tools menu and select Plugins.
Click on the "Available Plugins" tab.
Check the box for "Java EE Base" (note: on older NetBeans versions, the plugin to install was called "Java Web Applications").
Click the "Install" button.
Click your way through the dialogs until the plugin and its dependencies are installed.
Restart the IDE.
You should now find "Java Web" in File -> New Project.