OpenXava is Maven based so works nicely with IntelliJ.
Create a new Maven project with IntelliJ, choosing org.openxava:openxava-archetype as archetype, and selecting 7.6.2 for the Version field (never select 7.X.X for version):
Note as we choose Maven Central as repository.
Before run your project you have to do a mvn package on it. Then look for the class yourapp.java (it is the name of your application) inside org.example.yourapp.run package in src/main/java, and run it.
You can also see on Lesson 1 of getting started using IntelliJ.