First find the file that needs to be downloaded on the official website and click to download.
You can see such a download address in the browser or download software, copy it (pointed by the arrow in the figure below).
Then replace the part in the red box with the following content:
vscode.cdn.azure.cn
<-------- is the one on the left. The
updated address is: http://vscode.cdn.azure.cn/stable/78a4c91400152c0f27ba4d363eb56d2835f9903a/VSCodeUserSetup-x64-1.43.0.exe
this is the domestic mirror image. After you click it, you will find that the speed takes off directly.
original: