Finally, to test that everything works, you can upload an example sketch that will make the onboard LED fade in and out.
Now that you've installed everything and connected your RP2040, it's time to flash a sketch to your board. Navigate to File -> Examples -> Examples for Raspberry Pi Pico and select the Fade example. Then press the upload button and your code should start running in a few seconds.
If it worked, your RP2040 should look something like this.