Visual Studio Code doesn’t use the usual “File > New Project” dialog method, which IDEs commonly use to start developing new projects. The basic design of Visual Studio Code is that of a text editor, which uses your file system to browse for existing files to edit and compile.

Although you can use the Veryant isCOBOL extension just to view and edit COBOL source files, you need a project with a specific directory structure to be able to compile, run and debug COBOL programs.