What do you want to do? Run some demo apps or build your own app? The documentation is your friend in both cases!
I note in the screenshot above, you haven't linked the gradle project to IntelliJ, you have to do this in order to build Corda (gradle is our build tool). From the getting started page:
When opening the Corda project for the first time from the IntelliJ splash screen, please use “Open” and then agree to import the Gradle project from the popup bubble. Don’t pick “Import” on the splash screen, because a bug in IntelliJ will cause the pre-packaged run configurations to be erased. If you see this warning too late, it’s no problem, just use git checkout .idea/runConfiguration or the version control tab in IntelliJ to undelete the files.
For running the demos look at this page: https://docs.corda.net/running-the-demos.html
For building the CorDapp Template which you can use as a base for building your own apps then look at: https://docs.corda.net/tutorial-cordapp.html
Did you see the docs mentioned above before you started? Or were they not easy to find? Where did you look first? Let me know and we can optimise the flow for new developers. Also as you say a step by step guide with screens also helps.