My sister in law's Roku 2 XS (purchased 12/1/2011) had problems connecting on line, right out of the box. It would automatically try to complete a firmware upgrade on startup but then would give either 011 or 014 error code. Of course, this was through a LinkSys router WRT54G.
The solution was to first disable the firewall in the router, then connect the Roku via CAT5 to the router (Ethernet connection). Once the Roku finished the firmware update, I switched it back to wireless connection. Smooth sailing after that. Don't forget to re-enable the firewall in the LinkSys router when you're done.