You can set this setting here.
In IDEA 14+ the sequence is:
Settings
> Editor
> Code Style
> Java
> Imports
> Class count to use import with '*'
In older version of IDEA:
Settings
-> Java
-> Code Style
-> Imports
-> Class count to use import with '*'
The feature can not be disabled. You need to set it to a high value, e.g. 99.
In 2016.1.1 version
You should also remove the lines under Packages to Use Import with '*'
,
e.g. import javax.*;