Cannot open file 'fbxsdk.h': No such file or directory.

[AlexTS1980]

This fires up every time I'm compiling the project. All files requesting it are in AssetStudioFBXNative. Do I need to write it myself or what?

[fatshen]

Just follow README.md.
AssetStudioFBXNative uses FBX SDK 2020.2.1, before building, you need to install the FBX SDK and modify the project file, change include directory and library directory to point to the FBX SDK directory.

You will get fbxsdk.h after install the FBX SDK.
If you still the this error after modify the project file, you can open AssetStudioFBXNative.vcxproj by text editor and check whether all the "AdditionalLibraryDirectories" are corrected.