Deep linking is a way to jump directly to a particular screen/episode/series/whatever from outside of the channel itself.
The two main use cases on Roku are banner ads and Roku universal search. Deep linking can be used to navigate directly to a given piece of content (series, episode) that is referenced by a banner ad on the home screen; the same mechanism is used to navigate to a piece of content from Roku's universal search results.
Roku Search is only available in English, and only available in the U.S., Canada (English only), Ireland and the U.K. Roku Search only supports full-length movies and TV series, episodes, and specials. Roku Search does not support short-form or clip content. (Note short form content is anything < 15 minutes)