It’s only if you are using 3rd party plugins that compile code for UE4Game. Substance does, so packaging your game requires you to compile before hand.
First you need to install Visual Studio 2015. Community is free and can be found here: https://www.visualstudio.com/downloads/
Make sure you install C++, since it may not be installed by default.
Then you need a C++ file in your game project, using this guide:
It doesn’t have to be anything you use, it just has to exist.
Once you do that, Visual Studio should create a Visual Studio solution for your game (.sln file) near your .uproject file. You can load the file to load visual studio. You want to compile the project for the package you’re building. So for example Win64 Development you’d want to compile your game for Win64 Development. At the top of Visual Studio are drop downs for the configuration (Development/Shipping/etc) and platform (Win64/Win32/etc).
Once you compile your game project, you can close visual studio and then package your build from UE4Editor.