Try running this in your terminal to see the exact error message (or there's a tab somewhere in vscode which has the output of OpenOCD - go to Output tab [near Terminal, Problems and so on], from the combobox select Adapter Output). Do you have the debugger connected? Is it properly detected by your system? Did you install any drivers for it? Is it visible in Devices Manager? Did you give the permission for OpenOCD to run? Did you try running the session again?
Why do you expect GDB to be part of OpenOCD when it is a part of the toolchain and already present in your system.
Don't get me wrong, but it really appears that you are doing everything without any thinking at all... Using vscode for MCU development is definitely possible, but there are a couple of rough edges here and there - maybe not significantly more than in Eclipse, but Eclipse is well known and covered by million tutorials, while in vscode this is all new - so it is not something I would recommend for a total beginner.