You need some sort of DLNA server installed on your WD NAS device. I am unfamiliar with it, so I can't say of Twonky is your only option, or if Plex or Emby might also be available. There's likely no problem running multiple DLNA servers on your NAS, although there's really no need to. But for trial purposes you could install more than one and then determine which you want to keep using.
But just be aware that your NAS device very likely doesn't have sufficient processing power to transcode any files that are unsupported by a Roku device. Audio transcoding doesn't take much power, but video transcoding is likely beyond your NAS's abilities. As long as all your media is compatible, then it should work fine.
I prefer running my media server on a full PC. Not only does it have the processing power if transcoding is needed, it's simpler to setup and maintain than on a NAS device. Yes, a computer takes more electricity to run than a NAS, and the computer must be running to access the media.
As far as configuring Plex, you connect to your Plex server via a web page. All configuration is done from this web page. If you have never used Plex, this would be something new to learn, but it's not difficult. If you already have Plex installed, you should be familiar with the web interface. There's plenty of YT videos that walk a user through setting up Plex.
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