If your code is dependent on other code, then yes, anyone else trying to compile it needs both your code and the other code.

There are ways around this, though. You could wrap the external code in a DLL of your own, and use that as a minimal interface to the external code instead of trying to GetProcAddress all the stuff in the other DLL. This is also good insulation against ABI differences (note that if you try to pass C++ objects, throw exceptions, or allocate/free memory across DLL boundaries, you're in for nasty bugs).

Another option is to build your code in such a way that it has to be generated before it can be compiled, and the generation step includes detecting missing dependencies and excising code that relies on them. A lot of open-source projects do this.

Another option would be to have separate configurations (i.e. Debug, Release, DebugNoFBX, ReleaseNoFBX) and then set the FBX specific files in your project not to compile under that configuration.

Be aware that this can easily get out of hand if you have more than one combination you want to support, so I'm really only mentioning it for the sake of completeness.

Another possible route would be just to put the optional functionality in a separate lib that the user can make use of if they want to.

Also, am I not going to also get problems with missing .lib-files etc?

You can specify the lib files to be linked using pragmas if you like (inside ifdefs)
e.g.
#pragma comment( lib, "foo.lib" )

eally no way to e.g. read out if a certain system variable like from FBX is set in the preprocessor, and then #define MYSDK_ENABLE_FBX?

There probably is!...but I've not had experience with it. On every project I've worked on, there's no part of the build process that could possibly vary based on the user's system/environment. They've always deliberately killed off such features to ensure that no matter which team member performs a build, the results will be the same. Doing professional QA is almost impossible otherwise
I can see that this feature would be very cute though when you're not working under such restrictions

That would be acceptable, undefining all the non-used code would be no problem. I would prefer some automated way though - really no way to e.g. read out if a certain system variable like from FBX is set in the preprocessor, and then #define MYSDK_ENABLE_FBX? Also, am I not going to also get problems with missing .lib-files etc?

There is a way, but it requires some work on your part.

I've done something similar, which is extendable enough to work for what you want.

VS has an option where you can set up a prebuild event. In the prebuild event, call a script file (i use Lua).

In that script file, query the environment variables if a certain variable exists, and if so, generate a file (for instance, when you install the directx sdk, it generates the env. var DXSDK_DIR or some such).

If no env. variables can be queried, then you can manually search the hard drive within the script and find if the installation exists. Whether or not searching a users hard drive is nice/morally ok, i don't know. You decide.

The general idea is that you can generate a header file that you include, and if you find what you want, generate a #define statement with your MACRO of choice that indicates that something exists.