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Very straightforward.
https://github.com/RetroPie/RetroPie-Setup/wiki/First-Installation
Though it's much easier just to download an emulator on PC and get some roms.
I want a NES Classic but they are hard to come by it seems. How difficult would it be to set up an emulator on a Raspberry Pi? Seem to be guides out there, but I know nothing of coding etc. despite being computer literate.