Download Salesforce lightning components zip file from pega market place
Link - https://community.pega.com/marketplace/components/pega-process-extender-salesforce-lightning
No Need to Upload zip file to Pega server. Extract the zip file try to find pega-lwc-84 folder (for version 3.0).
Use pega-lwc-84 folder as VS Code deployment folder as I mention below link because of all lightning web components locate in this folder.