In order to compile this, you'll need to download the intellij community edition source, and set up your intellij for plugin development (all you probably need to do is create the sdk
http://confluence.jetbrains.net/display/IDEADEV/Getting+Started+with+Plugin+Development#GettingStartedwithPluginDevelopment-anchor5

If you update pig.flex, you should recompile PigLexer by running this command from the src/com/metamx/idea/pig directory

~/src/intellij-idea/tools/lexer/jflex-1.4/bin/jflex --charat --nobak --skel ~/src/intellij-idea/tools/lexer/idea-flex.skeleton pig.flex

where ~/src/intellij-idea is the location where you checked out the IDEA source code