One way it works is what I do that is, I go to the Netflix Site on my PC and add movies and TV shows to my Instant Q and my Regular Q. that way when I use Netflix on the Roku box, it retrieves all the Instant stuff I added and I just choose from there.
The other way of getting the movies directly from the Netflix channel on the Roku itself, I have not tried. It's probably easier to do but I am an original owner when the choices were not so many and I learned to do it from my PC cause at that time, that was the only way.
Maybe someone here can explain how to do it the new way.
Anyway, my way does work and the movie would still be there next time until I removed it.
Nothing is saved in the Roku box itself as it does not have the memory to do that. Everything must be "retrieved" each time you start up the Netflix Instant Selections. But if it is listed in your Instant Q on the Netflix site, then it will still be there to retrieve. Hope this helps.
Original Roku 1, called N1000,bought 2008 (2014 still works perfectly)
2014 new owner of Roku 3500 (HDMI) streaming stick