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 (using a PH1 screwdriver), 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.