I'm currently using visual studio code as source code editor for various reasons. So far things are working pretty well.
However, I'm having trouble to build an acknex executable by using the engine's .exe with command line options.

I tried '-exe' which creates an executable but it does not generate the additional dll-libraries that are needed.

Does anyone know, how to do this?

When you use visual studio compiler why you need to compile via acknex compiler ?

What?
VS can only invoke MSVC compiler, if you want it to do anything else you have to write small code and put it into the compiler pre-compile tasks:
Project options -> Build events -> Commandline -> Add your code

Example:

err I think there's a little misunderstanding here

I want to compile an acknex application, within Visual Studio Code. It's Microsoft's "new" sourcecode editor (not Visual Studio, the name is kinda misleading).

So far things work. I can also call the acknex compiler and generate an executable but it does not generate an acknex.dll file.

So let me rearrange that question:
Which arguments do I need to pass to the acknex compiler to make it generate an executable including the neccessary .dlls.

http://www.conitec.net/beta/wed-commandline.htm

WED -p "YourFile"

As MasterQ32 wrote, you should issue this CLI command:
WED -p yourpath\your.exe

Optionally you can add one more argument that marks a working directory.

For this command you should create a post build command in your project setup.

Oh okay, so building isn't done using acknex.exe but wed. Thanks for the info!