By this, do you mean you want to run call a python script, you have written in VS Code, from Anvil? If yes, then Uplink is what you need.
Your error seems to indicate, that the anvil-uplink package was not installed into the python environment, that VS Code is running. Are you using virtual environments?
If not, perhaps Pip installed the Uplink package into a different python version, than what you are using to run your python script.
In either case, we need more information about what your setup looks like, in order to provide more info.
If you start a python REPL (by typing python or python3 in a commandline or terminal), can you import anvil.server
If you are trying to get use VS Code as a IDE for developing your Anvil app, git can use Git, to pull and push to and from Anvils servers. See this guide for more information - especially Level 6.