@SeTzX You have not described what process you followed. You sure you have a Pi with built in wifi? You went to retropie setup and connected to the access point using your network ssid and password? got the ip of the Pi? using winscp or putty? Also you can just browse the relevant folders on a pic without ssh if you want, they appear in the network tab. In most cases you have to look it up via IP address...
On Windows though, go to My Computer then click map network drive, then click browse and click on the Retropie folder to map...
If it doesn't show up then you may have a firewall issue...
To find the IP address you can either check your router interface or go to WiFi settings on the Retropie menu.