Setting up Zephyr for the first time can be the hardest part. Workbench for Zephyr takes care of it for you, so your first build on an STM32 board is a matter of minutes rather than an afternoon of toolchain configuration.
The flow is short: install the extension from the Marketplace, run Install Host Tools, add a Zephyr SDK, then create a project for your board from the Zephyr samples. The getting started page walks through it with a short video, and the guides on z-workbench.com cover Windows, Linux and macOS in detail.
There are STM32 board tutorials to follow along with, including the STM32F746G-DISCO, the STM32L562E-DK and the NUCLEO-WBA55CG. Each one goes from an empty workspace to a running, debuggable application on the board.
See Getting started with Workbench for Zephyr to begin, and read the full documentation at z-workbench.com.