For an in depth view of retro gaming on Raspberry Pi, take a look at this wonderful guide!
And, for a specific guide on using the Joy Bonnet to retro game, check out this one.
First, you'll set up the SD card with this specially prepared RetroPie/Emulation Station image. This contains the operating system, software, and the scripts needed to bind the Joy Bonnet keys to emulator button presses.
You can download the image here.
Once downloaded, burn the image to your micro SD card. There are a number of ways to do this, one of the simplest and most effective is to use etcher.io
Then, with the Joy Bonnet in place, hook up the mini HDMI cable to your monitor and the Pi, and plug the micro USB power cord into the Pi Zero's PWR IN micro USB port.
This is a good opportunity to test things out, make sure all of the buttons work as expected, and, of course, play games for a little bit!
Next up, we'll build the cartridge enclosure.