This is called Alekine's defense by the way and of course you have to move the knight.
The standard reply is to move your knight to queen 4. White can build a big center with pawn to queen 4 and pawn to queen bishop 4 but that's the idea of this opening, to let white build a big center and then break it down.
If you decide this is really annoying though you can play for your first move pawn to king 4 or pawn to queen 3 and only then bring the knight out.
I have just picked up chess again and I love it. I have increased my rating in blitz by over 100 points in the past ten days. There is one situation that I am obsessing about. Okay. I am playing BLACK. White starts with pawn to King 4. I respond with Knight to King Bishop 6. White responds with pawn to King 5 threatening my knight!!! What is the logical play here; I am not going to sacrifice my knight this early, but do I recuse it and bring it back to it's original position, now letting white's queen move in to my territory and menace? I don't want to open up the knight file with king knight pawn forward as this also opens up the rook diagnol. How should I handle this early assault on my knight without preventing defense from white's quuen and not sacrificing my knight?????