There is no such option 'out of the box'. IntelliJ just works different than, for example, Eclipse when it comes to compiling. Eclipse recompiles all files that are affected by a change as soon as you save your changes. In IntelliJ there are two ways of checking the effect of your changes:
- Trigger the compilation explicitly with Make Project or the compile action CTRL-SHIFT-F9.
- Open one of the affected classes: only then will IDEA's Inspections mechanism start checking it for errors.
The advantage is that you have less file system load while you are coding.
But as described in this answer, there is a plugin to achieve what you want (even though it seems to have some performance pitfalls): https://stackoverflow.com/a/12744431/5788215