I have the exact opposite Problem of this question: Visual Studio Code always reopens previous file or folder
VSCode never seems to remembery my previously opened fi
Go to: Open File --> Preferences --> Settings and add "window.restoreWindows": "all" to your settings.json file. Remember to add a comma to the preceding statement.
"window.restoreWindows": "all"
This will reopen all the windows you had open on the close of your last session.