How can I compile C++ codes when Rocket on?

I saw a video of UE4 that shows compiling C++ code when UE4 is turn on and apply immediately.
And I tried to do that, but VC said ‘Can’t open [ProjectName].dll’. And only bulid success when Rocket off. Is that feature only support for full UE4, not Rocket? If need to set some options, please tell me. Thanks.

Oh, I got it. It works to push compile button in Rocket.