You'll need to write the Null 2 image to an SD card.
Here's a guide on how to do that:
You can get the Null2 image here.
You must use the Null 2 image for the Null 2. The screen and buttons have all been set up for you in the image, other images (e.g. the mintyPi or TinyPi images) will not work.
The first time you boot the Null 2 image, it will take some time to expand the file system for your SD card. Don't turn it off for a few minutes and wait patiently for it to show you the Null 2 splash screen.
Connect to your WiFi network using the following guide:
Then follow this to add some ROMs:
https://retropie.org.uk/docs/Transferring-Roms/ (The “SFTP” section. SSH is already enabled)