As a first step, try to compile your programm from te command line. E.g. How do I run a Java program from the command line on Windows? is a good start. You can run the commands directly in VSCode's integrated terminal. Optionally, create a VS Code build task from that command to run builds with the build command.

{
    "version": "2.0.0",
    "tasks": [
        {
            "label": "Build Foo",
            "type": "shell",
            "command": "javac foo.java",
            "problemMatcher": []
        }
    ]
}

To run/debug, create a launch config in the debug viewlet, for example:

   // Use IntelliSense to learn about possible attributes.
    // Hover to view descriptions of existing attributes.
    // For more information, visit: https://go.microsoft.com/fwlink/?linkid=830387
    "version": "0.2.0",
    "configurations": [
        {
            "type": "java",
            "name": "Debug (Launch)-Foo",
            "request": "launch",
            "cwd": "${workspaceFolder}",
            "console": "internalConsole",
            "stopOnEntry": false,
            "mainClass": "Foo",
            "args": ""
        },
        {
            "type": "java",
            "name": "Debug (Attach)",
            "request": "attach",
            "hostName": "localhost",
            "port": 0
        }
    ]
}

I can tell you for Windows.

1. Install Java Extension Pack and Code Runner Extension from VS Code Extensions.

2. Edit your java home location in VS Code settings, "java.home": "C:\\Program Files\\Java\\jdk-9.0.4".

3. Check if javac is recognized in VS Code internal terminal. If this check fails, try opening VS Code as administrator.

4. Create a simple Java program in Main.java file as:

public class Main {
    public static void main(String[] args) {
        System.out.println("Hello world");     
    }
}

Note: Do not add package in your main class.

5. Right click anywhere on the java file and select run code.

6. Check the output in the console.

Done, hope this helps.

If your code needn't input data, you can add this in the launch.json:

"console": "internalConsole"

The default value is:

"console": "integratedTerminal"

I do not suggest install the 'Code-Runner' extension, because it will compile the java file under the same folder of the java file, and mix them up.

And I recommended you to get used to the outputs, the outputs can provide useful information, let you know what's exactly the vscode does. If you run into some problems, you will need this information to help you to solve the problem.