I found, from several sources, that the official way to setup SDK version into our .NET Core project is to add a global.json file into the project main folder.
By the way
If someone comes across this while not getting a .NET Core 3.0 project to open, make sure you have updated Visual Studio to the latest version. This fixed it for me when given the error below:
C:\Program Files\dotnet\sdk\2.2.402\Sdks\Microsoft.NET.Sdk.WindowsDesktop\Sdk not found.
Check that a recent enough .NET Core SDK is installed and/or increase the version specified in global.json.