FYI: If you aren't able to see any live, OTA (Over The Air) tv channels on your Roku, the channel filter view might be enabled.
The setting isn't exactly intuitive to be found, as it isn't on the * menu under manage channels. To get to this setting, push the left button to bring up the channel list/guide, even if there are none listed. It will highlight the current program for the time you are at, blue down arrow and line. Press the left button until the actual channel number and logo are highlighted. Then press *, and go to filter to change and show all channels. Once you set up favorites, you can go back and change it to show favorites only.