In this video, you will get an introduction to how Jupyter Notebooks work inside of Visual Studio Code and install the Python packages useful for this data science project, and make sure you have access to the AzureML SDK. https://www.aka.ms/DataScienceInVSCode 

For more tips like this, check out the working remotely playlist at www.youtube.com/FoetronAcademy . Also, if you need any further assistance then you can raise a support ticket and get it addressed.