What do I need to do in settings and is this for settings on Roku remote or tv remote? What will this accomplish? Thanks for a reply.
Any settings mentioned here would be Roku specific. And the settings are in the Roku device menu, not anything on the TV. When using the TV remote, you can make changes to the TV, such as selecting the correct HDMI input. But nothing you do with the TV remote will change anything on the Roku.
Once you have everything set up, (and I really hope I don't add to your confusion here), there's something called CEC that offers a tiny bit of control of one device using a different device. With your Express, the only function that will be available is the ability of the Roku to switch your TV to the correct input when you press the Home button on the Roku remote. Under the Roku Settings menu that's called One-Touch Play. But it also depends on your TV supporting CEC, and that's not a given on every TV.
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