Since you were still in the setup mode, there's nothing to be lost by doing a hard reset on the Roku. There should be a small hole near the other connections, and in that hole is a recessed reset button. With the Roku powered on, press and hold the reset button for a minimum of 30 seconds. Not one second less. This resets the Roku to as shipped condition, and should allow you to start the setup from the beginning.
Dan
Roku Stick (3600), Ultra (4640), Ultra (4670), Ultra (4800), Premiere (3920), Insignia 720p Roku TV, Sharp 4K Roku TV, Nvidia Shield, Windows 10 Pro x64 running Serviio and Plex on a wired Gigabit network.