Every current Roku — the Streaming Stick that hangs off an HDMI port, and the small boxes like the Express and Ultra — sets up in the same order: power, input, remote, network, link, update. The screens below describe what each stage is doing so the prompts make sense as they appear.
Menus differ slightly between models and software versions, so read this alongside the leaflet in the box. Where a screen on your Roku says something different, the on-screen text wins. This guide was compiled from Roku’s setup documentation.