Among transition metal dichalcogenides (TMDs), VSe$_2$ is considered to develop a purely 3-dimensional (3D) charge-density wave (CDW) at T$_{CDW}$=110 K. Here, by means of high resolution inelastic x-ray scattering (IXS), we show that the CDW transition is driven by the collapse of an acoustic mode at the critical wavevector textit{q}$_{CDW}$= (2.25 0 0.7) r.l.u. and critical temperature T$_{CDW}$=110 K. The softening of this mode starts to be pronounced for temperatures below 2$times$ T$_{CDW}$ and expands over a rather wide region of the Brillouin zone, suggesting a large contribution of the electron-phonon interaction to the CDW formation. This interpretation is supported by our first principles calculations that determine a large momentum-dependence of the electron-phonon interaction, peaking at the CDW wavevector, in the presence of nesting. Fully anharmonic {it ab initio} calculations confirm the softening of one acoustic branch at textit{q}$_{CDW}$ as responsible for the CDW formation and show that van der Waals interactions are crucial to melt the CDW. Our work also highlights the important role of out-of-plane interactions to describe 3D CDWs in TMDs.
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