A modem that's just a modem would generally only have one Ethernet jack that connects to your router. If it has multiple jacks then it has a built-in router and I'd be surprised if it wasn't also a wireless AP (access point), so your router may not be necessary unless you have reasons for using it.
Anyway, to answer your question, connect it to your router. That way you can be sure that your wireless devices and your Roku are on the same network.
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