This step isn’t necessary unless you want to turn your Raspberry Pi into a retro gaming emulator. The first thing to do of course is to get a gaming controller. The one I got works fairly well but there are plenty others available on ebay. Funguypro at instructables.com has already written a pretty comprehensive tutorial on installing the software needed, but I will elaborate on the ssh part.
To ssh into your raspberry pi, you need an ssh-client, this can be using terminal on MacOS or from putty on Windows.