Save this contents to a new .reg file:
Windows Registry Editor Version 5.00
[HKEY_CLASSES_ROOT\Directory\shell\VSCode]
@="Open with Code"
"Icon"="\"%LocalAppData%\\Programs\\Microsoft VS Code\\Code.exe\""
[HKEY_CLASSES_ROOT\Directory\shell\VSCode\command]
@=hex(2):22,00,25,00,4c,00,6f,00,63,00,61,00,6c,00,41,00,70,00,70,00,44,00,61,\
00,74,00,61,00,25,00,5c,00,50,00,72,00,6f,00,67,00,72,00,61,00,6d,00,73,00,\
5c,00,4d,00,69,00,63,00,72,00,6f,00,73,00,6f,00,66,00,74,00,20,00,56,00,53,\
00,20,00,43,00,6f,00,64,00,65,00,5c,00,43,00,6f,00,64,00,65,00,2e,00,65,00,\
78,00,65,00,22,00,20,00,22,00,25,00,56,00,22,00,00,00
Run the file, bravo !