How do I use VS code

I find the this CodePen pen. rather frustrating to work with. How do I go about using VS code or Brackets instead?

you can code locally, but you will still need to host your project somewhere, like github pages, before submitting it.

CodePen is convenient in that that it already gives you a live project.
You can also try other alternatives that do the same.

From the FAQ:

Do I have to use CodePen for the front end projects?

As long as your code is publicly viewable, and you have a live demo, you can use whatever you want.

You can use GitHub pages or as alternatives to CodePen.