In order for the build command to work, there has to be a
sublime-build file defined that knows how to build that kind of file. Some of the packages that Sublime ships with include such files out of the box. Third party packages that provide support for other Languages sometimes include
sublime-build files as well.
In other cases you need to create one yourself in order to build that kind of file. This tends to happen in cases where the tools are specific to certain platforms or specialized enough that there is no "one size fits all" default solution for the build.
If you can provide more details we can help work you through how to create a build system to get you up and running. Generally speaking, with the exception of command line programs that require you to interactively provide input, as long as there is some external command or command sequence that you can manually execute in order to do what you want, it should be possible to do that in a build system.