Make sure you have added the OpenCSV JAR file to VS Code first, regardless of what version of Java you are using (Oracle's or others). See details in the answers to this question for related information.

If you don't have the JAR for OpenCSV, you can download the latest version from Maven here. Maven also lets you search for JARs by names/keywords - see here.

In case you are not familiar with Maven (or Gradle): A next logical step (if you are going to be doing any amount of Java work) might be to consider using a more fully-featured Java IDE (e.g. Eclipse, NetBeans) and look at how those tools handle JARs via their Maven (or Gradle) project types. Instead of downloading individual JARs, you would add entries to the auto-created "pom.xml" file used by each of your Java projects. So, for OpenCSV, you would add this:

<dependency>
    <groupId>com.opencsv</groupId>
    <artifactId>opencsv</artifactId>
    <version>5.2</version>
</dependency>

The huge advantage of this is that it automatically downloads any transitive dependencies into your project - i.e. any additional JAR files which may be needed by the JAR file that you need to use.