Some of the downloads are linked to in the first post at the top of this board, HERE
You'll need:
Either https://atariage.com/forums/applications/core/interface/file/attachment.php?id=413779 (NTSC) or https://atariage.com/forums/applications/core/interface/file/attachment.php?id=611649 (PAL) depending on your console type (you probably want NTSC).
You need the USB drivers (currently 2.12.36.1) from here; https://ftdichip.com/drivers/vcp-drivers/ (Assuming you're using Windows)
You need the flashing utility from here
If the utility gives an error about missing files, then you'll also need the VC++ files; https://support.microsoft.com/en-us/topic/the-latest-supported-visual-c-downloads-2647da03-1eea-4433-9aff-95f26a218cc0
The SD card, formatted as FAT
The Harmony manual from HERE - Read this in its entirety before starting, although some of it is very out-of-date (predates the Encore and Windows 10), most of it is still relevant.
DriveSort - Needed after you've copied your ROMs to the SD card if you want them to be in alphabetical order. *Optional*
Once you've got all the various bits, the process is (in theory);
Install the drivers
Install VC++ Libraries
Install Harmony Cart Software
Plug the Harmony into the computer and launch the Harmony Cart software, and if you're lucky it'll be detected.
Select the eeprom (the app should default to looking for it in C:\Program Files (x86)\HarmonyCart\arm, if not navigate there and select it, just use the NTSC one unless you are using a PAL HBIOS).
Select the hbios .bin file (e.g. hbios_106_NTSC or PAL if you're using it) and copy it to the root of the SD card, rename it to "hbios.bin", you can also use the Harmony Cart app to do this.
If the 2.0 updater doesn't work, then you can try to uninstall it and use the older 1.3 udpater
As for the actual game ROMs, you just copy them onto the SD card, make sure it's formatted - finding these is a case of a little bit of Googling, they're readily available, something like "atari 2600 rom pack" may find what you need...
I had a lot of difficulty trying to get this to work on a Windows PC and had to resort to using an old Macbook after it initially working ok. It sounds like it is also VERY picky about the type of USB cable you use, so make sure you use a good one that handles data as some of them are for charging ONLY.
It is also picky about some SD cards and the formatting, it took me a bit of effort to get an old 64MB SD card I had laying around to work, whereas a 4GB card I had worked straight away but seemed a bit wasteful given the entire library is ~8MB.
The whole process is a shambles and it really would be nice if the official website had proper guidance on the process rather than relying on an assemblage of forum posts to decipher.
Good luck.