Console can be connected to the internet using ethernet cable or by using onboard wifi.
Simply connect the network cable to the onboards ethernet jack, blinking lights indicate the console is connected to the network.
To connect the console to a network using wifi connection.
Access the Retropie-Config menu in emulationstation (you can also access it from option 3 in the RetroPie setup script).
Then Select Configure WIFI.
It will open into this menu:
Choose your SSID from a list:
Type your Wifi Password (You may need to wait a bit after you finish for the configurations to save)
After it's done configuring you should see your wifi info in the original menu: