Launching SGX Studio always requires both character assets: the Unreal character asset and the character control file. (See Character Assets). There are two launching methods:
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In the Unreal Editor menu, click Tools > SGX Studio. This brings up the Open Character Asset dialogue, where you must select the required assets. (See File > Open Character Asset.)
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Right-click the Unreal asset and select SGX Studio from the context menu. This loads the Unreal asset along with the last opened character control file.