How can I build C++ in vs code like I do in Visual Studio?

I just changed from Visual Studio to vscode but when it’s time to build the source I use “ctrl+shift+b” and I see an endless list of build options. I have tried several (Linux debug, mainly) and all of them start building some engine modules.

How can I just compile the modules I added (Just like using ctrl+shift+b in Visual Studio)?

Ctrl + Shift + B: select “ProjectEditor Win64 Development Build” to build project.