For everyone, this problem can be resolved by following steps:-
1. On menu bar, go to File --> Open Folder (folder which have your html file for live preview)
2. Select Folder
3. Select your html file from left side bar for live preview
4. Click on bolt icon on right (preview button)
All it melts down to the fact, that you need that folder(which have your file) selected to view your output in live preview.
Let me know, if it helps someone. :)