Help getting started with Roku devices, including setup, connecting your device to your TV, linking a Roku device to your account at my.roku.com/link, adding channels, subscribing to services, and more.
It sounds like you need to change your TVs "INPUT". It's likely set to Cable (ie the Coaxial cable cord input is what it's set/searching for). Change it to HDMI if the Roku has an HDMI cord, or if its an older Red/Yellow/White cables it would be something like 'Component'.
You should be able to do this on your TVs Remote by looking for INPUT on it. Make sure to look on the TV remote (if you still have it) not the cable companies remote. Otherwise there's likely a button on the side of or bottom of the TV although maybe the cable remote has it.
HDMI cable would just be one single cable with a narrow rectangular square connection.