https://mathjiajia.github.io/vscode-and-latex/
This page explains it pretty well, but there's a step not explained there so you can follow the rest of the tutorial here.
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Download TinyTex from this link-> https://yihui.org/tinytex/TinyTeX-2.zip
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Extract the .Zip, indisde there will something similar like a "install.bat", install it. It will take a will so make a coffee and leave it be until the opened window says "Abort" doesn't say "Abort".
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When it's done reboot.
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Install the extension: "LaTeX Workshop" from VSCode.
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If everything is correctly installed, compile with Ctrl + Alb + B.