Short version: you don't need to install anything. Long version below, for anyone who wants to.
Only if you want to. Installing Python and VS Code on your own computer is optional -- it's not required to finish any module or the capstone project.
Some people prefer it because it's closer to how professional developers actually work, and it lets you keep your own files (like about_me.py) saved on your computer instead of just in the browser. If that appeals to you, install it whenever you like -- Module 1, halfway through the course, or never.
Go to python.org/downloads and download the installer for your operating system.
Go to code.visualstudio.com, download, and install. This is the text editor where you'd write and run code outside the browser.
Then install the Python extension: open VS Code, click the Extensions icon (four squares) in the left sidebar, search "Python," and install the one published by Microsoft.
If you're unsure whether to install anything, don't -- start Module 1 for free and decide later. A setup call with your instructor is included once you unlock the full course.