JensenEx

Open the extension settings and tick the box that says "Run in Terminal"

Yea it's the gcc compiler, definitely good practice to add it
 
I followed this answer and worked like a charm

main doesn't require you to explicitly return something, it will compile without it
edit: could it be that I'm using the gcc compiler? this one doesn't require it
 
@JensenEx I take it that you want to do it automatically, I honestly don't remember how to do it since I haven't used VSCode in a long time, if you wanna do it manually: gcc -o outputFile sourceFile.c 

Weird, I thought I remembered it not working... I guess it's some compiler magic. Still I'd say it's good practice to explicitly return 0.

Since the main function is of type int you should return an int at the end - just add
return 0; below the final print statement. Without this it shouldn't compile no matter what.
 
As for running it in vscode, I just tried it with the "C/C++", "C/C++ Compile Run" and "Code Runner" plugins and it just worked when I clicked on the "run" button in the top right, no need for restarting or anything else.

Thanks a lot for your reply, I've made up my mind to get G402, I'm gettiny it later. 

Oh wow that's cool. ?? 

Thanks a lot for your PSU whitelist, I have some better idea on what type of PSU to get in the near future, thanks a lot again.