You need to have ChangeMan ZMF and REST services installed.  

ZMF Explorer is installed as a VSCODE extension, and it has no additional requirements other than you must create a zowe configuration file examples of which can be found in this Community Forum.

If you additionally want to use the ChangeMan ZMF plugin for zowe cli then it can be obtained from the Opentext Marketplace as a .tgz file which you then install using standard zowe commends.

The plugin for zowe cli is entirely optional and not required to run the VSCode ZMF Explorer.

Ok, thank you. Having "REST services" installed does also mean that some implementations at ChangeMan ZMF level are necessary (manual points to some choices to be done on HLLX or Skeletons or Log) or not?

Manual "ChangeMan ZMF REST Services Getting Started Guide" is focused on Jenkins so it's not really clear what should be implemented for VSCode plugin. 

There is no specific work to be done in REST services for the ZMF Explorer. The ZMF Explorer simply expects REST services to be running.  There is no configuration of Rest services to work with the VSCode ZMF Explorer.

As your questions relate specifically to ChangeMan ZMF and Rest Services rather than the VSCode ZMF Explorer, I would suggest that you put in a call to Customer Support who will be able to assist in this.

Is there a link of a doc for getting the list of functions available from VsCode ZMF Explorer? With that list maybe it would be easier for me to understand how should I customize REST "server side" ChangeMan (skels or HLLX or ...).

As an example: 

May I create a Changeman package from VsCode ZMF Explorer?

May I Audit and Freeze the package? 

A cross reference between VSCode ZMF Explorer functions and related REST API in Changeman would be great...

Just for being more clear: is the VsCode ZMF Explorer intended just for an "edit" workflow (check out, edit, check in) and eventually start and check the builds or is it intended also for the full ChangeMan Package Lifecycle?

Even in the video https://www.youtube.com/watch?v=hhoUSv2lOGE&t=2151s I may see clearly the check out - edit - check in + build operations but I would like to understand something more about available functionalities...

Thank you

There is no configuration as such to be done in Rest Services. The ZMF Explorer interfaces to ChangeMan ZMF. 
ZMF Explorer is targeted at Developers and the provided functions are embedded into the tree structure either directly or via right click options. 

ZMF Explorer is not aimed at full lifecycle management. but rather the ability to checkout, edit and check components back into packages and perform builds. 

Users who wish to perform full function product management from a Desktop environment should consider using the ChangeMan ZMF for Eclipse product which is a full IDE product.