Error: Launch failed! Missing UnrealGame binary.

Development Platform & Builds
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I try to build my game.
In the Output Log I get the following in red text:

PackagingResults: Error: Launch failed! Missing UnrealGame binary.
You may have to build the UE project with your IDE. Alternatively, build using UnrealBuildTool with the commandline:
UnrealGame

I installed Visual Studio now, but I have no idea what to do next.
Can someone help?