Using multibib results after the first compile run of file mwe.tex with pdflatex (or in your case compiling with TeXStudio) in two new files mwe.aux and apndx.aux. Both .aux files needs to be run with bibtex. TeXStudio does the run with bibtex for file mwe.aux, for apndx.aux you need to do it by your own. Just run the command bibtex apndx in a windows terminal.
After that you can compile two times with TeXStudio to get the resulting PDF.
To get command \citeapndx be run in a caption of a figure (your question in the comments) you need to use command \protect like (same for a \section):
\caption{In figure caption \protect\citeapndx{Johnson2000}}
% ^^^^^^^^
So with the following file mwe.tex (package filecontents is only used to have both bib files and the tex code in one compiling MWE):
% needs: bibtex apndx
\RequirePackage{filecontents}
\begin{filecontents}{\jobname.bib}
@inproceedings{Creighton2006,
author = {Creighton, Oliver and Ott, Martin and Bruegge, Bernd},
booktitle = {Requirements Engineering, 14th IEEE International Conference},
isbn = {0769525555},
pages = {109--118},
publisher = {IEEE},
title = {{Software cinema-video-based requirements engineering}},
url = {http://ieeexplore.ieee.org/xpls/abs{\_}all.jsp?arnumber=1704054},
year = {2006},
}
\end{filecontents}
\begin{filecontents}{apndx.bib}
@article{Johnson2000,
author = {Johnson, W Lewis and Rickel, Jeff W and Lester, James C},
journal = {International Journal of Artificial Intelligence in Education},
number = {11},
pages = {47--78},
title = {{Animated pedagogical agents: face-to-face interaction in
interactive learning environments}},
volume = {Internatio},
year = {2000},
}
\end{filecontents}
\documentclass[12pt]{article}
\usepackage{natbib}
\usepackage{multibib}
\usepackage{graphicx}
\newcites{apndx}{References in Appendix}
\begin{document}
First paper to cite: \cite{Creighton2006}
\bibliographystyle{ecca}
\bibliography{\jobname}
\appendix
Cite a paper in the appendix \citeapndx{Johnson2000}
%\section{In the appendix \protect\citeapndx{Johnson2000}} % <===========
\begin{figure}
\centering
\includegraphics[width=5cm]{example-image-a}
\caption{In figure caption \protect\citeapndx{Johnson2000}} % <=======
\label{fig:example-image-a}
\end{figure}
\bibliographystyleapndx{ecca}
\bibliographyapndx{apndx}
\end{document}
and the compiling chain (independent from TeXStudio):
- open a terminal window in Windows with pressing windows start key and
R, then type cmd, press enter
- move to the directory where you have your tex code and the bib file(s) with
cd <directory path>
- run command
pdflatex mwe (resulting in two needed .aux files)
- run command
bibtex mwe (compiles mwe.aux)
- run command
bibtex apndx (compiles apndx.aux)
- run command
pdflatex mwe (resulting in files *.bbl and *.blg)
- run command
pdflatex mwe (resulting in pdf file with bibliography)
If you are using an editor (TeXStudio, TeXnicCenter, ...) the editor can run pdflatex mwe and bibtex mwe for you, but not bibtex apndx. So run this command after the first compile run with TeXStudio in a windows terminal ...
After running the compile chain you get the following resulting pdf:

newcitescommand seem not to work fine. Does my code work on your latex compiler? Thank you. – Andrew Feb 21 '18 at 16:12bibtex prova.auxand thenbibtex sec.auxor whatever. Can't you do it on the command line if it is tricky persuading your editor? Or you can use something likelatexmkif you want a single run to hit. – cfr Feb 22 '18 at 03:32.cwlthing just gets you auto-completion of macros when editing. It is irrelevant to compilation. You need to look at 'Correct Compilation (platform independent)' or, if that doesn't work for you on Windows, the alternative batch-file method explained under 'Correct Compilation (Windows)'. At least, that's what the instructions say. I'm just reading them and repeating them back to you. (I don't use TeXStudio or Windows and know nothing of batch files. Though the cross-platform command looks plausible enough.) – cfr Feb 22 '18 at 03:37bibtex ?*.aux? – Andrew Feb 22 '18 at 08:11captionto a figure/table. Do I need to load another package? – Andrew Feb 25 '18 at 16:19