If you haven't done so already, use CMake to configure then build the exercises:
mkdir build
cd build
cmake .. "-GUnix Makefiles" -DSYCL_ACADEMY_USE_DPCPP=ON
-DSYCL_ACADEMY_ENABLE_SOLUTIONS=OFF -DCMAKE_C_COMPILER=icx -DCMAKE_CXX_COMPILER=icpx
To compile,from the syclacademy directory:
cd build/Code_Exercises/<Exercise directory>
make <exercise name>_source
Alternatively from a terminal at the command line:
icpx -fsycl -o <exercise name>_source -I../External/Catch2/single_include ../Code_Exercises/<Exercise directory>/source.cpp