On your ROKU remote press the arrow button top left and you'll see Live TV. Guide, etc. Hit the down arrow key it will take you to the little gear on the bottom left corner. That will take you to settings. You'll see Preferences and on the right you'll see a selection list, the last one will be Startup Channel. If you want your tv to come back on to the last channel you watched you'll need to change this setting to OFF. That should solve the issue for you.
