fatal error: Eigen/Dense: No such file or directory: Eigen/Dense VS code and Ubuntu

I know this question been answered like a million time, and I have followed with each suggestion to no avail. I am trying to set up Eigen in my c++ code using VS code while running commands on Ubuntu 20.04 on windows. I was following with this specific post:
Post

This is my c_cpp_properties.cpp file:

{
    "configurations": [
        {
            "name": "Win32",
            "includePath": [
                "${workspaceFolder}/**",
                "C:/cygwin64/usr/include/**",
                "C:/Program Files/LLVM/bin/**",
                "C:/Users/J/Documents/eigen-3.4.0/eigen-3.4.0",
                "C:/Users/J/Documents/eigen-3.4.0/eigen-3.4.0/Eigen/**",
                "C:/Users/J/Documents/eigen-3.4.0/eigen-3.4.0/Eigen/src/**",
                "C:/Users/J/Documents/eigen-3.4.0/eigen-3.4.0/test",
                "C:/Users/J/Documents/eigen-3.4.0/eigen-3.4.0/test/**"
            ],
            "defines": [
                "_DEBUG",
                "UNICODE",
                "_UNICODE"
            ],
            "windowsSdkVersion": "10.0.18362.0",
            "compilerPath":  ""C:/Program Files/LLVM/bin/clang++.exe"",
            "cStandard": "c17",
            "cppStandard": "c++17",
            "intelliSenseMode": "clang-x64"
        }
    ],
    "version": 4
}

And following the suggestion from other posts, this is my tasks.json:

{
    "version": "2.0.0",
    "tasks": [
        {
            "type": "cppbuild",
            "label": "C/C++: g++.exe build active file",
            "command": "C:\Program Files\mingw-w64\x86_64-8.1.0-posix-seh-rt_v6-rev0\mingw64\bin\g++.exe",
            "args": [
                "-g",
                "${file}",
                "-o",
                "${fileDirname}\${fileBasenameNoExtension}.exe",
                "-I",
                "C:\Users\J\Documents\eigen-3.4.0\eigen-3.4.0\Eigen\",
                
            ],
            "options": {
                "cwd": "C:\Program Files\mingw-w64\x86_64-8.1.0-posix-seh-rt_v6-rev0\mingw64\bin"
            },
            "problemMatcher": [
                "$gcc"
            ],
            "group": {
                "kind": "build",
                "isDefault": true
            },
            "detail": "compiler: "C:\Program Files\mingw-w64\x86_64-8.1.0-posix-seh-rt_v6-rev0\mingw64\bin\g++.exe""
        }
    ]
}

Still getting the error:

Test.cpp:21:9: fatal error: Eigen/Dense: No such file or directory
   21 | #include<Eigen/Dense>
      |         ^~~~~~~~~~~~~
compilation terminated.

I installed Eigen from: LINK

Any help is appreciated, thanks.