mkdir build
cd build
If you want to open this in Visual Studio:
cmake.exe -G "Visual Studio 16 2019" -A x64 ..
If not then:
cmake -A x64 ..
cmake --build . --config Debug
Binary will be in build\Debug\bgfxSdl2ExampleWindowsDx11.exe
All DLLs, and assets should be in that debug folder so just run it from there.