Building my first NES classic with Raspberry Pi 3

The Retropie distribution is built on Raspbian, so you don't need to install Raspbian and then Retropie (unless you really want to do that for some reason). Download the Retropie distribution and image a micro SD card with it.

Retropie Distro Download
Retropie Installation Guide

Once you have your Pi booting up with a keyboard attached, you should be able to get it on your home wireless network via the settings section of the Retropie interface. Once it is on your network you can either ftp into it to load roms or (some here have told me) the current version of Retropie may show up as a network drive in Windows Explorer on a PC within your network. So you can also copy roms to the appropriate location like you would copy any file.

To find the appropriate location for your roms, look HERE. You'll notice on the right-hand side bar that you can pick various systems.

The Retropie subreddit is a good place to look for advice but very few people are going to be willing to help you there if it's obvious you haven't already attempted to Google some of this for yourself.

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It seems like you just put the file in the appropriate folder on the sd card, is that not right?

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That is correct. If you want to have stuff like box art and other meta data (release date, developer, synopsis, etc.) then you'll need to perform a metadata scan of your roms. I can't give advice on how to do that because the method is certainly different than it was when I setup my current Raspberry Pi. However, you should have no problem finding videos on Youtube explaining the best, current method for that.

You really don't have to touch the SD card. Once it's formated and retropie is correctly installed on it, you don't have to take it out of the RP3 again. You can transfer ROMs to it remotely over your wifi.

After setting everything up, connecting to your tv and turning on for the first time with the formatted SD card in, the first thing you should do is connect the RP3 to your wifi

Then get on your computer and go to your network settings to find everything connected to your network. You should see "retropie". Click on it and all of the emulator folders will be there. Then DL game ROMs to your computer and copy the file to the appropriate emulator folder there. It'll transfer your ROMs wirelessly over to the SD card that is still plugged into your RP3 that's connected to your tv. When you restart your RP3, your games will now be loaded onto it and play away.

You CAN take out your SD from the RP3 and plug it into your computer and drag the roms to each emulator that's now installed on the SD card. Then plug the SD card back into the RP3 afterwards and restart. But doing it over WiFi is quicker as you don't have to keep taking your SD card in & out to install new games.

Is there a site or video that would walk me through step by step on setting it up and downlading rom's?

The official guide I linked above is pretty easy to follow and the one you linked seems fine too. Actually finding roms is just a matter of doing a Google search, downloading the games you want, and then copying them to the appropriate location for each game. There really isn't much to it.

Edit: There is even a video in the official guide right under the statement, "If you hate reading then see this video. Otherwise read on!"

Yeah I'm just noticing the link you provided walks you step by step.

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So is it the .nes file that you drop in the folder?

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Yes. ".nes" is the typical file extension for NES games. You can see other accepted file extensions here, though.

"Accepted File Extensions: .7z .fds .fig .mgd .nes .sfc .smc .swc .zip"

Place them in the path:
/home/pi/RetroPie/roms/nes

Don't forget the appropriate case.

Awesome, I got mine up and running. Been playing all day, already pissing the wife off lol