Note: If you are using this Thermostat is a wired configuration, then the Thermostat will not use batteries.
Undo the screw at the top of the Thermostat, then rotate the Thermostat anticlockwise and pull the Thermostat from the wall.
You will find the batteries on the reverse of the Thermostat.
Replace with 2 x AA Alkaline batteries.
DO NOT USE Zinc, Heavy Duty or Lithium Batteries.