Installing VS Code Extensions

I’m stuck on installing the VS Code Extensions. My Linux subsystem (Ubuntu 18.04) recognizes the ‘which code’ command, but when I try to run ./setup_vscode.sh in the terminal, I receive the following error for each extension:

Ignoring option install-extension: not supported for code.
At least one file or folder must be provided.

I also receive a single error at the end ([user] is wildcard):

cp: cannot create regular file ‘/home/[user]/.config/Code/User’: No such file or directory