Hello,
Out of the box, SonarLint for VS Code supports analysis of JavaScript, TypeScript, Java, Python, PHP and HTML. Issues should be reported as soon as you open a file with one of the supported languages.
Connected mode with SonarQube unlocks analysis of SalesForce Apex and T-SQL, as well as synchronization of settings (rule activations, file eclusions) and issue suppressions.
Note that SonarLint is not meant to replace a SonarQube scanner: it will analyze the code of the files that you open in your IDE, but it will not push analysis results to SonarQube.
In order to check that your files are analyzed and as mentioned in the SonarLint FAQ, you can check the SonarLint output console in VSCode.