Do you use Maven or Gradle? Or do you want to add the LWJGL jars manually?
The lwjgl*-natives-windows.jar files are missing. They should be added as classes (i.e. as simple jars on the classpath).
Try Run -> Edit Configurations... -> VM options: -Dorg.lwjgl.util.Debug=true -Dorg.lwjgl.util.DebugLoader=true
Is lwjgl-natives-windows.jar in the library?