There are several things you need to make sure of. If you are direct connecting to your laptop from the Roku, you need to configure Internet Connection Sharing, or at the very least set a manual IP address on the Roku that is in the same subnet as the macbooks network address, so:
if the macbook is at 192.168.5.30
the roku needs to be at 192.168.5.xxx where xxx is any number other than the macbook's address and greater than 0 and less than 255, I would suggest you pick a number like 50.
Best if you turn on internet connection sharing (in the sharing section of System Preferences) so that it automatically gets and address and you won't have to deal with manually addressing at all.
- Joel
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