Sethabile,
Which library are you referring to? Arcpy or the ArcGIS Python API?
If you are referring to arcpy, you will need to set the Python interpreter in VSCode to the one that is installed alongside ArcGIS Pro. The default location of this interpreter is: "C:\Program Files\ArcGIS\Pro\bin\Python\envs\arcgispro-py3\python.exe"
If you are referring to the Python API, you can either follow the steps above, or install the Python API in existing Python installation by following the steps outlined in this documentation. After doing so, follow the steps in the first link to set this Python environment in VSCode.
Hope this helps. Let me know if you have any other questions.
Josh
