Hi Hans,
Welcome to our community! 
Have you already tried to restart Unity and Visual Studio Code? If so, did the message appear again?
If it did, go to Window > Package Manager and remove the “Visual Studio Code Editor” package and reinstall it. Launch Unity again and try to make the message appear again.
If it appeared again, go to Edit > Preferences > External Tools. Is VS Code selected as your external script editor?
Do you use an antivirus program or a firewall that might be blocking Unity or VS Code?
And last but not least, make sure that you do not run anything in a cloud. The project folders and files must be locally on your harddrive.
Hopefully, this helped.
See also:
- Forum User Guides : How to mark a topic as solved