Step 1: The Pi
Then, load it on to an SD card and plug your pi into your router. Now, once you have your operating system up and running you should see a screen telling you to assign controller buttons. Go ahead and plug in your preferred controller (I am using a cheap Logitech controller, but any xinput device should work) and assign the buttons.
Now you should see emulation station's start page, exit emulation station and type ifconfig in the console. You should see your Pi's IP address, write it down and boot up your computer. Install some sort of ftp client and login using that IP address. Next download some roms and put them in the corresponding folders.
Now you are ready to play on your Pi, but these next steps will make the experience way better.
Step 2: The Enclosure
Step 3: Finishing Up
If you want, you can hook up a keyboard and mouse and play quake on it too!