Did you add the typescript definition file for node and reference it?

Download the node.d.ts file from the DefinitelyTyped repo https://github.com/borisyankov/DefinitelyTyped then add that file to the folder containing your node app.

Then in the file you are using the http object reference the .d.ts file by adding the following to the top of the file:

/// <reference path="node.d.ts" />

After that you should get intellisense in the file.

Or you could just type __directory, wait for the squiggly to show up and press ctrl-. => there is a code action there that will download the node.d.ts and add a /// reference for you