First, you're going to want to download VSCode from the link below. Any of the 3 buttons marked "ARM" (NOT ARM64) under the Linux section should work, but I prefer installing from a .deb file, so that's what I'll use for this demonstration.
Once you've downloaded the .deb file, open the terminal with ctrl+alt+t, by clicking it from the taskbar, or by navigating through the menu (raspberry pi icon -> Accessories -> Terminal). Then, navigate to the Downloads directory.
cd Downloads
After you're there, you'll want to install it. Your filename might not be the same, so try typing in code_ and then using tab completion to fill the rest of it. The installation usually takes a few minutes.
sudo apt install ./code_1.51.1-1605051085_armhf.deb
The output should look something like this. A good way to make sure that something has been installed is to check the line that I circled below.
If the above didn't work, you can also try installing with a combination of dpkg and apt.
sudo dpkg -i code_1.51.1-1605051085_armhf.deb sudo apt-get install -f
Then, open VSCode from Menu -> Accessories -> Visual Studio Code. When you open it, it should look something like this, but as long as it opens and you don't get any error messages, you're probably fine.
If you'd like to install the CircuitPython extension, click the extensions tab (circled in red below), type CircuitPython into the search bar, and install the one by joedevivo.
Now you should be ready to use VSCode on your Raspberry Pi. For more information about using VSCode, click on the link labeled "VSCode Documentation" on the sidebar.
