It is March, 2025 and I just solved this using Unity 6. (The menu must be a little different than previous Unity versions? I'm using a Mac but I wouldn't think it's a different menu than Windows) So here's the solution....

In the menu bar at top click on Unity, then Settings (2nd option from top). It will open the Preferences window. You can also get there with keyboard shortcut Command + comma (,) or Windows key and comma.

In the middle of the left side options in the Preferences window is External Tools. Click on that and then at the top where it says External Script Editor, click in there and select your Visual Studio Code. It didn't show up for me right away so I searched my applications for VS Code and found it that way. If you have VS Code open you'll want to restart it so it connects with Unity.