Install Visual Studio (community edition or a paid subscription) edition. Now, to work on microcontrollers, go and get VisualGDB, it is absolutely superb quality, these guys know their subject.
VisualGDB will install EVERYTHING needed, I had code running on an STM32 board within 15 minutes after installing VisualGDB, let me know how it goes, I've used Visual Studio for C development for over thirty years, so I'm sure I can help you.
Microsoft use Visual Studio and their C and C++ compilers to maintain Windows, kernel mode device drivers and Visual Studio itself. I too hate the stupid name "Visual Studio Code", it's about as unhelpful as a name could be.
Finally, are you sure you want to learn C++? why? unless you have to, I wouldn't waste the time, there are far better languages to spend your time on, seriously.