I recommend that you learn jMonkeyEngine3 using the jMonkeyEngine SDK, as it is well documented.
If you want to use jMonkeyEngine with IntelliJ IDEA, you can get all the relevant information from this eclipse tutorial: http://hub.jmonkeyengine.org/wiki/doku.php/jme3:setting_up_jme3_in_eclipse
Of course, you should consider a different terminology and user interface for setting things up in IDEA. Basically all you have to do is add the correct .jar files to your classpath.
If you have problems and need more information, you should probably learn more about the settings for the IntelliJ IDEA project and the Java Classpath.
As I said, I recommend starting with the jMonkeyEngine SDK. (Keep in mind that you lose support for jMonkey file types, such as .j3m (jmonkey stuff) and .j3o (jmonkey models) when you use IntelliJ IDEA!)
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