That's not the best place for that JAR.
I usually create a /lib folder where I put all my 3rd party JARs.
Then I configure my project to add a library that points to all the contents of that /lib folder and give that library to my module as a dependency.
It's not hard to do. You just haven't set up your project in IntelliJ properly.
Stop putting stuff randomly on your desktop. Proper organization matters.
I create a single folder for each IntelliJ project that I have. Under that I usually have /src where all my .java source files go, /lib for 3rd party JARs, /resources for things like .xml configuration files, /test for JUnit test .java files, etc.
I create a library pointing to the /lib folder and make that a module dependency.