When you say "Visual Studio Code docs", do you mean this site?
It looks pretty comprehensive and looks like it has some fix ideas if your environment is not set up correctly. E.g. you'll need to create a new shell after you change the PATH environment variable and check if the PATH points to the right location, etc.
I've never done this before (when I worked with g++, I worked on native Linux), but based on the documentation, it should work.
Maybe you can try again and make sure you follow the steps without any mistakes.
I know it's not much help, but it's rather hard to debug an environment based on some forum messages.