If you are new to Microsoft MakeCode, Adafruit has some excellent tutorials on learning the basics. See the tutorial MakeCode for Circuit Playground Express for the details.
Extensions in MakeCode are groups of code blocks that are normally not part of the basic code blocks found in MakeCode. Extensions, like the name implies, adds blocks for specific functionality. There are extensions for a wide array of very useful features, adding gamepad, keyboard, mouse, servo and robotics capabilities and much more.
For this tutorial we will use MakeCode for Circuit Playground Express. If you are using another board, use MakeCode Maker, go to Advanced -> Extensions and see if the Storage extension is available for your board.
Open a new project in MakeCode and you will get the default "ready to go" screen shown here.
See the black ADVANCED button at the bottom of the column of different block groups, circled in red to the left.
Clicking ADVANCED will show 7 additional block groups. At the bottom is a grey box named EXTENSIONS. Click that button.
Above, in the list of extensions available for Circuit Playground Express, both the Datalogger and Storage extensions are available. If you are using MakeCode Maker, you might not see one or the other depending on the board you chose to use. It might be available if you type in "Datalogger" or "Storage" in the search feature circled in yellow above. If you see neither, that capability is probably not available for the board you chose.
Click the extension you will want to use and a new block group will appear in the main MakeCode screen.