https://github.com/Microsoft/vscode
Click on View > Command Palette...
Find and click on Extensions: Install Extensions
Type platformio into the search box and click on Install under PlatformIO IDE.
Click on File > Open Folder...
This brings up the Open Folder dialog. Select the folder that has the platformio.ini file in it.
Click on the alien icon and select the drop-down menu for the board environment you are building to reveal all actions:
Firmware will be located at .pioenvs/BOARD_TYPE_*/firmware.hex