The absolutely free way to watch local channels is to connect an Over-the-Air antenna to the back of your television.
You would watch the local channels using your television remote, not through the Roku device.
The alternative method is to purchase a Roku TV and an Over-the-Air antenna and then you would use your Roku remote navigate the channels.
Otherwise, there are some subscription services(paid) like Hulu and the like that offer local channels in their packages. There was a "free" streaming non-profit Channel called Locast but as @andyross pointed out this morning in another posting, they have since ceased operations as a result of an adverse court ruling.
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