Assuming that you are using key-based authentication and have added your key to the remote server at ~/.ssh/authorized_keys and have the .pem  key file on your local machine - if none of this sound familiar first start here.

Now, click the 'remote window' bottom left of the window

This will open the command palette with the following options:

Select 'Remote-SSH: Open Configuration File' which will ask you to locate the configuration file on your local machine.

After you've selected the file enter the following details into it:

Host my_remote_server
    HostName 12.34.567.891 #the IP of your server
    User roy #the name of the user on the remote
    IdentityFile /Users/roygranit/ssh/key.pem #route of your key

And finally save this file. Now go back to command palette and now select the top option:

And select the name of the server you wish to connect to..

If all went smoothly you should now be connected the remote host