First, some assumptions have to be made:
To begin, start up Visual Studio, go to the extensions page (on the Left bar) The Extensions tab can be reached from the button containing the icon with four blocks and the top-right corner is seperated from what would be a complete cube.
Install the plugins named 'Ada' and 'Ada-snippets', both by the user Entomy.
Once those are installed, reload Visual Studio Code, load an Ada file, and you should see that your Code has syntax highlighting.
Next, we want to install from the extensions page an extension called 'code-runner', but we're going to modify it. Once installed, reload Visual Studio Code and disable the plugin.
We want to modify the extension's package.json file, which has the file extensions to use. We want to do this because Ada is not officially supported in this plugin.
User extension paths for Visual Studio Code can be found at the bottom of this link.
Inside the extension path is all of the extensions you have installed. Inside the extension with code-runner in its name (you have to find it, sorry) is the package.json we want to modify. Open it in Visual Studio Code (or any editor, just remember to save).
Find the line:
'\"code-runner.executorMapByFileExtension\": '
Inside this part of the JSON file are compilations by file extension. Go to the bottom of this section, find the last extension in this listing, only add one comma at the end of the last double quote mark, and hit enter.
Now add the following code at the new line you just created:
\".adb\": \"cd $dir && gnatmake $fileName && $dir$fileNameWithoutExt\"
Now reload VS Code and re-enable the extension. You'll also very likely want to turn on the checkbox for 'Run in Terminal' in the code-runner settings.
And that's it! Keep in mind that you'll have to compile the root .adb file of your project for some Ada functionality to work.