You can't connect to that. Why are you trying? It's for the Roku Wi-Fi remote and nothing else.
Perhaps a little more info for you would be helpful. The Roku Wifi Direct network you are seeing in the list of networks is just a connection directly between the Roku remote and Roku device - "peer-to-peer" or more - it does not go through your Wifi network. It is just for that use. You don't say why you were trying to get into the network. Perhaps you were trying to access your home Wifi network. That is completely different. If you created a Roku account, then you have a Roku password. Frankly, I do not know if that password would work here - I do not know why you would be logging into that network since setting up the remote is done through the menu on the TV. Hope this helps.