How did Microsoft "teach" Copilot X to offer help on VS Code questions?

I saw a Copilot X video where you could type in the sidebar, asking questions about how to do things in VS Code, and it would answer.

I’d love to have this for our own SaaS, and I’m wondering how I can do this using ChatGPT-4. Do we just have a single huge “system” message that explains every aspect of our application? That seems expensive. Is there some other way?