You should have two dependencies:
dependencies {
compile 'com.android.support:support-v4:18.0.+'
compile 'com.android.support:appcompat-v7:18.0.+'
}
Verify that you have downloaded the latest Android Support Library and Support Repository within your SDK manager.
http://developer.android.com/tools/support-library/setup.html#download
Detailed tutorial on setting up the ActionBarActivity:
http://www.blackcj.com/blog/2013/08/14/actionbar-with-android-support-library-r18/