File | Project Structure | Artifacts then you should press alt+insert or click the plus icon and create new artifact choose --> jar --> From modules with dependencies.
Next goto Build | Build artifacts --> choose your artifact.
source: http://blogs.jetbrains.com/idea/2010/08/quickly-create-jar-artifact/
Reference: http://stackoverflow.com/questions/2025607/how-to-create-a-jar-file-or-export-jar-on-intellij-like-eclipse-java-archive-e