|You were obviously going to tell us the error message but accidentally hit the submit button before completing your question.|
Please post back with details of exactly which model ROKU you have, Exactly which model router you have as well as what if any security protocol you have in use on your wireless connection. An excerpt from the ROKU user manual dealing with wireless setup might be helpful as well, relieving us of the burden of downloading and reading it for you. We might be able to help you interpret any technical terms you don't understand.
Goin' Fishin' (Some day)