I'm going to show you how to easily add "Open with WSL + VSCode” option to Windows Context Menu. With this way Vscode will be started with Wsl in folder.
Open this batch by clicking on "raw" and download as a .bat file. Then run it with administrator priviliges.
Instaed of Clang, if you are using C++ with Gcc, you should change the #include paths from settings.json.
Open settings.json from Command Palette(Ctrl Shift P) and add this line before the last }.
"C_Cpp.default.compilerPath": "/usr/bin/g++"