Extract batocera.img.gz (gz is like zip, it's a compressed file) *Warning : some browsers like Opera/Chrome/Safari take the liberty to unzip the file by themself and badly rename them. If the file is more than 2GB, it is already unzipped.
Insert your storage device (USB key, SD Card, MicroSD Card, ... on your computer
Select the image and the drive in BalenaEtcher like on the following screenshot and click on Flash!
Once finished, go on your storage device and check that it contains a boot folder (files differ depending on architectures)