You need to determine the model number of your Roku. It's likely printed on the case somewhere in very small characters. If it's a Roku Stick (it can plug directly into a TV without a cable), you have to get an official Roku remote. If it's a 3500 Stick, you may as well throw it away, as you can't get a remote any longer, and the 3500 is officially being dropped from the supported device list. There's plenty of channels that won't work on the 3500 as well.
If it's any other version of a Roku, you can get an inexpensive IR remote from virtually any store that sells electronic devices. Just make sure the package lists Roku as a supported device.
Yes, there's no way to set it up without a remote. If your friend reset his Roku before he gave it to you (which he should have done), changing your WiFi to match your friend's SSID and password won't work, as all that would be wiped from the Roku.
Dan
Roku Community Streaming Expert
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