Download the latest revision from here and extract it.
The "User Directory" is where you should place your BIOS images, where settings are saved to, and memory cards/save states are saved by default. An optional SDL game controller database file can also be placed here.
This is located in the following places depending on the platform you're using:
So, if you were using Linux, you would place your BIOS images in
~/.local/share/duckstation/bios. This directory will be created upon running DuckStation for the first time.
If you wish to use a "portable" build, where the user directory is the same as where the executable is located, create an empty file named
portable.txt in the same directory as the DuckStation executable.