If you haven’t setup the VS Code for Salesforce, please set it up.
Steps to setup the VS Code for Salesforce:
1. Press Ctrl + Shift + p.
2. Search for sfdx.
3. Select SFDC: Create Project to create a Force.com project.
4. Enter a Project name.
5. Select the folder where you want to store the project.
6. Authorize the org.
