So, you're having trouble playing a video on your Roku. Sorry about that, we're happy to help get to the bottom of it. If you just say "it doesn't work" though, we don't have much to go on. When troubleshooting a video playback problem (and eventually reporting it in the forums), here are some things to look at. Keep in mind that Plex simply doesn't support some things (e.g. DRM, ISO), and that has nothing to do with the Roku.
- Where is the content coming from? Something from your own library sections? Something from a shared section? Something from a channel (which channel)? Something from your queue (which site)?
- It's important to know whether the file is being transcoded or direct played. There's a global setting at Preferences -> Direct Play, as well as options you can play with per video on the video details screen under Playback Options. If you never touched anything, you're in Automatic mode, which means it'll decide whether to Direct Play based on the file format. Play around with the Playback Options. Does it work if you force Direct Play? Does it work if you force Transcode?
- Does lowering the quality improve things? If you gets lots of pauses while the Roku says "Retrieving..." then it usually means something couldn't keep up. Either the PMS wasn't producing bits fast enough, or the network on the Roku wasn't receiving them fast enough. Either way, the simplest thing to try is reducing the quality in the Preferences.
- What sort of file is it? What container/codecs? Sometimes the codecs are enough, sometimes a full text dump from MediaInfo is useful.
- Does it work in any other Plex clients? If you've got iOS, Android, or Windows Phone, try it there. You can also try in Plex Media Center, which is a free download for Windows/Mac.
- What sort of Roku? In particular, the Roku 1 (firmware 3.x) and Roku 2 (firmware 4.x) have support for different things.
- Logs are also often helpful. The Plex Media Server.log file from the server is often useful. The logs from the Roku are almost always useful, and starting in version 2.2 you don't (usually) need to load the channel in dev mode to get them. To turn on logging, go to Preferences -> Logging -> Enable Logging. Then reproduce your problem so that whatever you want us to investigate is in the logs. Then go back to Preferences -> Logging -> Download Logs and follow the directions. You can either copy and paste the logs, or save them to a file and attach the file.
The more of that information you supply, the more likely we can help figure out what's going on. The less you provide, the more likely you are to be pointed here. :]