Then open IntelliJ IDEA and from the File menu choose Open, then select the build.gradle file from the exercises\java directory.
When prompted, choose to Open as project. IntelliJ should download all the dependencies required, and you should end up with no problems.
IntelliJ now defaults to running tests using Gradle. You can change this by opening up the Gradle panel, clicking the spanner icon and changing Build and run using and Run tests using to IntelliJ IDEA. This will give you slightly nicer output.
Validate that you are set up correctly by running the tests. Right click the src\test directory and choose Run 'All Tests'.