VS Code has nothing to do with Visual C++ or Visual Studio. Visual C++ is a C++ toolchain with a C and a C++ compiler, a linker, the C and C++ standard libraries, Windows-specific DLLs, etc. Visual Studio is a complete IDE with optional support for several programming languages like C++, C#, etc.
VS Code is just a glorified text editor.
You'll need to install the Visual C++ components, such as the compiler, linker, and libraries. You won't get any of them with VS Code.