How to setup calva in Visual Studio Code?

I am both new to Clojure and to using Visual Studio Code. I tried to setup the calva plugin and followed the instructions on the “first steps” in the calva documentation and try to connect to the REPL:

Issue the command Start a Project REPL and Connect : ctrl+alt+c ctrl+alt+j"

and get

“No supported Jack-in project types detected. Maybe try starting your project manually and use the Connect command?”

What is missing here?

Have you installed Leiningen or the clojure command line tools?
In my experience, Calva looks for a project.clj or deps.edn file to initialize from. If this is not in your project, things will not work. These are created by initializing a project (e.g. lein new app)