Hi Kristian,
welcome to the forum!
latexmk is a wrapper tool. You could add it to your compiler options, but it's not a must. What you need though, that's BibTeX or biber. Let's try the first one.
First you compile your document with LaTeX (can be either of pdfLaTeX, XeLaTeX, or LuaLaTeX, doesn't matter). Then you need to run bibtex on it. Either at the command line by entering "bibtex documentname" (no file name extension) or by running it as a compiler option in your editor. That generates the bilbliography. Then run the LaTeX compiler again to include it.
The usual routine is, every time you made considerable changes and want to compile,
- run LaTeX (to compile with your changes)
- run bibtex (if there were changes in the bibliography or with citations)
- run LaTeX again (to include the changed bibliography)
- run LaTeX again (to finally update references, such as page references in the table of contents)
That's why people use latexmk, to run all 4 steps automatically.
I don't run all 4 steps all the time. Just the first one, and from time to time (when bib data changed) or finally, I may run all 4 steps.
Stefan