Add setup instructions for IntelliJ IDEA

I would normally prefer to commit the actual InteliiJ project files which would have simplified the setup instructions.

However, I'm guessing that few contributors work with IntelliJ (since it hasn't already been included), and I think this way may impose less of a maintenance burden.
If this isn't widely used (and I don't think it is), it should probably be added as a wiki page instead of the main readme.