If you downloaded https://julialang-s3.julialang.org/bin/mac/x64/1.7/julia-1.7.3-mac64.dmg, copy Julia-1.7.app into the Applications folder.
→ I’m not sure though, if VS Code picks up this install location. (Maybe a restart of VS Code is required)
If you downloaded https://julialang-s3.julialang.org/bin/mac/x64/1.7/julia-1.7.3-mac64.tar.gz, you need to extract it to a location that is in PATH.