You need to use the screen mirroring (Miracast-based; Rokus support Miracast and AirPlay2 for screen mirroring) function built-in to your phone (Android? no brand/model stated).
This depends on the brand/model if this is functionality is available, what this is called, and where it is located in the UI (e.g. on more recent Samsung phones this functionality is provided by SmartView and is generally available in the Quick Panel).
If your phone does not have direct Miracast screen mirroring support, there are other apps that can provide (or unlock the Google-deprecated) Miracast functionality in your phone available in the Google Play store.
I also suggest you make sure your Roku's screen mirroring mode is set to "Prompt" and then choose "Always allow" for each device.