Yeah, it sounds like you are using the HDMI only Roku Streaming Stick (model 3500) as theuser86 mentioned. It must be powered externally to be able to use it. The ROKU stick MHL version (model 3400) can be powered by the tv's MHL port and doesn't need an external power supply. They are two different sticks that look pretty much the same. Since the MHL port is "also" a standard HDMI port, this allows you to use your HDMI only stick(3500) but you must use external power. On the other hand the MHL stick will not work in a standard HDMI port as it does not produce power for the device(which doesn't have the ability for external power). You can still get ROKU MHL sticks if you want to have no cords, but I would stay with the HDMI only version as it is a better device and allows screen mirroring.
OTA Antenna "Actual Rabbit Ears", 42" JVC EM42FTR, Roku Streaming Stick (MHL
) 3400x (1EL54H001869) (ROKU Beta)