no, after cmake was creating your sln file for VS and you opened it, you should see something like ALL_BUILD and INSTALL in your “Projektmappen-Explorer”, you can set it as start project or build with a right-click in debug and release mode and it will create the install folder
I also don’t know why you opened your DLL files with a hex editor, this MZ only means that it’s a microsoft executable/dll and exists since MS-DOS