Using MSYS2 with Visual Studio Code is extremely easy now thanks to the Shell Launcher extension by Tyriar.
First, install the extension and reload Visual Studio Code.
Then, open the settings.json to edit your settings.
Add the field shellLauncher.shells.windows. I recommend using autocompletion here so that all the default shells are added.
You should having something like this now:
UPDATE (Fall 2020): This gist is an updated version to the Windows 10 Fall Creators Update - Installing Node.js on Windows Subsystem for Linux (WSL) guide, I usually just keep here notes, configuration or short guides for personal use, it was nice to know it also helps other ppl, I hope this one too.
Windows updated windows subsystem for linux to version 2, as the F.A.Q stated you can still use WSL version 1 side by side with version 2. I'm not sure about existing WSL machines surviving the upgrade process, but as always backup and 🤞. NOTE: WSL version 1 is not replace/deprecated, and there ar