Installing Julia is very easy with juliaup (the recommended way). Just execute this from your WSL terminal (you get this from the official installation webpage. This will default to the windows version of the commaned but you can click on the small text beneath the command to change to unix):
curl -fsSL https://install.julialang.org | sh
I am not sure how you would connect this VSCode installed in Windows however. I think the easiest way would be to install VSCode inside WSL as well and then it “should just work”
.
But why do you want to use WSL in the first place? Windows is a first class citizen for Julia and everything works just fine (except interrupting stuck threadS IIRC - but that’s a Windows incapability)