VSC Remix extension not being able to compile files with import statements

Question

My Remix VSC extension is not able to compile any contract that has an import statement. This happens even if the imports are local files (located in the same folder than the compiling contract). This is a sample of the contract I try to compile with its import statement:

pragma solidity 0.4.24;

import "./Bank.sol";


contract WETH9 is ERC20Like {
    function deposit() public payable;
}

I am able to compile it with the Remix Desktop IDE, though, but for the VSC extension I just get this error:

public\contracts\Setup.sol:3:1: ParserError: Source "Bank.sol" not found: Deferred import import "./Bank.sol"; ^------------------^

Am I missing any kind of setup? I have not found anything regarding this matter.