By default, no file is supplied, but examples are supplied for some common Propeller platforms. For example, the file sysdep_demo_ser.spin describes an 80MHz Propeller on a Parallax demo board, with console I/O to the serial port, and with the SD card attached starting at pin 0. If this is your setup, you can just copy this file to sysdep.spin and then everything else will compile. Otherwise, browse the available sysdep*.spin files, pick the one closed to your setup, copy it to sysdep.spin, and edit it for your environment.
Once you've done this, future releases will use that for the system dependencies and you should not need to edit any other files.