Run raspi-config first and expand your filesystem then reboot and then the setup script will work
https://github.com/retropie/RetroPie-Setup/wiki/First-Installation-(RetroPie-SD-Image-2.6)
I also have a YouTube channel (https://youtube.com/channel/UCYdB7MovoH6yCzkVjTXeiIw) going step by step through each configuration, its a bit dated but it will cover for a lot of it. Floob and techtipsta also have really helpful videos. I will update the wiki once the latest beta is released since there will be some different (but easier) configurations particularly when it comes to controllers.
Also if you installed retropie 3.0 you need to create a folder on your USB called retropie
first see here:
https://github.com/retropie/RetroPie-Setup/wiki/How-to-get-ROMs-on-the-SD-card
Then it will populate the ROMs folder once plugged into your pi, then you place your ROMs in the newly created folders and then plug back into the pi, once it stops blinking press f4 to refresh emulation station so your ROMs will show up or you can just reboot.