If you are going to edit and execute on Windows, you have to install either Visual Studio regardless or g++ under MinGW. These instructions are very detailed:
https://code.visualstudio.com/docs/languages/cpp
To configure VSCode with MS compiler:
https://code.visualstudio.com/docs/cpp/config-msvc
To configure VSCode with gcc on Windows:
https://code.visualstudio.com/docs/cpp/config-mingw
Another alternative that I recommend is to use Windows WSL which is like a Linux inside Windows.
https://code.visualstudio.com/docs/cpp/config-wsl
Then install the C++ extensions for VSCode.
Then I recommend you install cmake for Windows. Although the tutorials will teach you how to build a single file, you will need more for large projects.
https://cmake.org/install/
Create a CMakeLists.txt and then use the cmake-gui to create the Visual Studio project files. All this is outside Visual Studio Code.
To build from inside VSCode I found it particularly cumbersome. I'd rather Alt-Tab and build the project manually by either calling 'make' or building inside Visual Studio. But it's your preference.
But if you are editing on Windows and running on Windows, I'd strongly suggest to run inside Visual Studio itself. Not only you will have way more support for your questions but also the Visual Studio debugger is arguably the best in the market.