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You're looking at it on GitHub through the window of VS Code. VS Code will reopen and you'll see that repository just like you were working with it locally. The third option lets you open a Pull Request branch so you can pretend to thoroughly review it. You can paste in the URL to a GitHub repo if you happen to just have that hanging around on your clipboard (weird) OR you can browse GitHub by selecting "Open Repository from GitHub".
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You can also get to this option from the Command Palette if clicking on things with a mouse is too much trouble.
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If you have other Remote extensions for VS Code installed, you'll see a lot more options in this list, so just search for the right one. You'll see a new option for "Open Remote Repository". To open a GitHub repo, click on the green indicator in the lower left-hand corner of VS Code.
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