How does building an agent work

I've been digging around the internet, I understand that 4 functions need to be implemented and the endpoints created but there doesn't seem to be a full on guide from start to finish, as well as building. When you write your custom agent, such as in this [example](https://github.com/eProsima/Micro-XRCE-DDS-Agent/blob/develop/examples/custom_agent/custom_agent.cpp), how do you build it?

Start with the custom_agent.cpp example linked in the issue and trace how its four functions and endpoints relate to building a custom agent. Document the process from implementation through building, including the steps a reader needs to reproduce the example. Done means a newcomer can follow the guide from start to finish.

Written by the indexing model from the issue text.