Try a different HDMI input on the TV if you can. A blue screen often means there's nothing connected or there's some kind of copy protection issue. You might also want to try a different HDMI cable. Make sure you're using the TV's remote to select the proper HDMI input. Roku devices don't turn off, so if the light is on it will be outputting a signal. You might want to prove that the device works by connecting it to a different TV if you have one available.
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