Fast way is use FD on windows, other variants now not comfort. Only FD have comfort support haxeflixel templates etc. HD is little wrong direction and VScode its just editor, it means ... have not knowledge = can't use. Only FD now.
Use FD portable version, its fully work on windows. other parts you can install inside FD plugin manager haxelib , lime etc as instruction. But you can install libraries use console, as you can see in manual (its crossplatform way).
FD work only in windows now, and no plane other os.
there is a reason that i am switching and force myself to learn haxe in VSCode. I want to buy a laptop and installing linux for hobbyist and i want to buy mac os laptop after i have money. To avoid using different IDE or compiler i want to mastering this haxe in VSCode. Because windows, mac, and linux has VSCode. So i dont need to learn again using different IDE because there is VSCode.