1) Menu: File > Project Structure > Artifacts
2) Click the green + icon and create a "Web Application: Archive", then OK
3) Menu: Build > Build Artifacts ... > Web: war
By default it should generate it under your <project>/out/artifacts/web_war.war
Note that IntelliJ also allows you to setup "Web Application: Exploded" artifact, which great for development that run and deploy to an application server within your IDE.