Guessing from the information I have, you’re not actually compiling the program, but trying to run it. That is, BUILD_ALL is set as your startup project. (It should be in a bold font, unlike the other projects in your solution) If you then try to run/debug, you will get the error you describe, because there is simply nothing to run.
The project is most likely generated via CMAKE and included in your Visual Studio solution. Set any of the projects that do generate a .exe as the startup project (by right-clicking on the project and selecting “set as startup project”) and you will most likely be able to start those from within Visual Studio.