We bought my daughter the Roku express and I have been trying to set it up. It let's me pick the language, it connects to internet then it says it has an update. Then it starts right back to the Roku screen to pick my language.
Luckily for me I've never experienced your problem, but ...
When the setup fails to complete after the software update runs, here are a couple of things that some people have found to work for them. They may not be universally successful, but they are worth a try.
Easiest to try, so try this first: Restart your router, even if other devices have no trouble connecting. When your router has completed its startup, try repeating your Roku setup.
More involved: Repeat the setup by connecting to a different wifi network - perhaps via a wifi hotspot on your mobile phone or by taking it to a friend's house - and see if it will complete the startup. If successful, then redo the wifi connection to use your intended wifi network via Settings > Network > Set up connection.