The Roku has no such recording ability. While it might be possible, the connections would be complicated and HDCP handshake issues might render it close to impossible. There is a computer program that allows recording sites like Amazon and Netflix, but its name escapes me at the moment. But that would have nothing to do with the Roku and would require that the video you desire to record be available on a web site.
Nvidia Shield, Roku Stick (3600), Ultra (4640), Premiere (3920), Insignia 720p Roku TV, Sharp 4K Roku TV, Windows 10 Pro x64 running Serviio and Plex on a wired Gigabit network.