Things has been a little bit changed due to the latest updates on Visual Studio Code. The following steps work for me.
Press Ctrl + Shift + P to open the Visual Studio Code command palate.
Type >preferences: Open Settings (JSON)
in the text area.
Add the following lines at the end of the JSON file which is displayed in your right hand pane.
"terminal.integrated.shell.windows": "C:\\Program Files\\Git\\bin\\bash.exe"
Close and reopen your Visual Studio Code instance.