I need advice a bit more sophisticated than newbie surface points that don't speak to my problem. Most likely, my Ultra has a configuration element that should be changed, or I'm going to have to buy a 4670. For right now, I'm either converting Matroska to Roku 3 .mp4 or watching it on my 1080p computer monitors.
That's also a bit condescending, as every person that has responded to you here is not a "newbie".
There are no internal settings on any Roku to handle media differently. I gave you a link in my other post that explains the supported audio and video codecs, and some caveats about them. The only thing missing from that page is that Roku devices also support the TS/M2TS container.
If you aren't going to use a DLNA media server to handle transcoding on the fly, which works quite well by the way, then your media must comply with the limited number of containers and codecs that Roku supports.
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Re: Roku Ultra spec says it supports .mkv (Matroska). My Roku Media Player says format not supported
I have twelve Rokus of all versions - sticks (using USB in TV), Roku 2, 3 ,Ultra, etc. I had a bunch of files that were in AVI that I had to convert for Roku. Everything that I have converted to mkv using Handbreak have worked.