There are 2 critical steps: (A) download all files related to the lab/assignment. (B) install all packages required by the lab/assignment.
For (A), follow these steps. There is a button for you to download all files.
After (A), try to run the downloaded lab/assignment and see if there is a problem of (B).
You will see “Module Not Found” error when encountering a (B) problem, and in which case, you need to google how to install them in your Python environment. The step to download is different from environment to environment, and I am not familiar with VSCode.
Good luck!
Raymond