Click on "Clone Or Download" and then "Download ZIP".
First, extract the ZIP file in your downloads or type in
git clone https://github.com/Beastwick18/Java-Graphics-Engine
in cmd where you want to download it
Then in IntelliJ, click on File > Project Structure > Libraries
Then click on the + icon.
Locate the downloaded JAR that you extracted and click on it.
Now you're done!