I had the exact same problem. It turns out the resolution on my Roku was set too high for the TV I was trying to use it on. I hooked my Roku up to another TV that could handle a higher resolution and was able to use the device. On the Roku menu, I went to Settings ---> Display Type. Then I set the resolution to the lowest available resolution, unplugged the Roku, and took it back to the TV where it wouldn't work before. I then reattached it to the TV that wasn't working before. The Roku started right up and showed me the Roku menu where I was able to go to Settings ---> Display Type again and experiment to determine the max resolution the TV could handle.
I had the same problem. I did the same steps and it fixed it but…. Only for 2 weeks and now it is displaying unsupported source in my projector. It is really irritating that it loses its setup.
I had the same issue. I learned that my problem is that the TV, on which I am trying to set up the Roku, only supports 480i or 480p resolution, and the Roku Express does not work at these lower resolutions.