Packaging failed: Missing UE4Game-Win32-Shipping_xp.exe

Could not find exe C:\Program Files\Epic Games\4.7\Engine\Binaries\Win32\UE4Game-Win32-Shipping_xp.exe. You may need to build the UE4 project with your target configuration and platform.

This error pops up while I try to package the project (Shipping).
Engine version is 4.7. I have not downloaded the source of the engine but I have VS installed.

I needed to download the source version of the engine.