Step 3: Add Android Support Library

Reference
http://android-wtf.com/2012/09/how-to-configure-actionbarsherlock-with-intellij-idea/

Copy the jar file <sdk>\extras\android\support\v4\android-support-v4.jar to your project’s libs directory
Switch to IDEA
Open File > Project Structure
Select Libraries from the left pane
Click on the plus sign above the second column, and choose Java
From the file-chooser popup, navigate to your project’s libs directory
Choose the jar you copied earlier, and click OK
A popup titled Choose Modules will appear
Select both modules, and click OK
Click OK to apply the changes in the Project Structure window

Intellij asked if ok to update modules, I said always ok for these modules.