Python files end with .py. To create one, go to File > New File (or press Ctrl+N / Cmd+N). Then save it with File > Save As and give it a name ending in .py, like hello.py.
File names should be lowercase with shows between words: my_first_program.py, not MyFirstProgram.py or my-first-program.py. This is a Python convention that keeps code consistent across projects.
When you save a .py file, VS Code recognizes it as Python and activates the extension. You'll see "Python" in the bottom status bar and your code will have colorful syntax showing.