we build our artifacts with Maven. In the root directory there is the graphhopper.sh. I think you are on a Windows system (IIRC). I am not sure if the graphhopper.sh works on Windows with Cygwin or their new integrated Ubuntu, but you could try to use the graphhopper.sh. Otherwise just use maven on the command line, which should work on all systems.
mvn clean -DskipTests=true package should build the jars in the target folder. You can run these with
java -jar YOUR_JAR.
Executing GraphHopper in IntelliJ wors. This is my intelliJ run config: