I recently set up a new Roku box, however mine was a first-time Roku set-up experience. I had to move my LinkSys wireless router to a spot slightly higher and closer to the Roku, which is in the same room. I also had to reboot the Roku, and once it saw that my wireless network, and connected to the internet, it started updating its internal software on its own, and the rest was flawless.
On my initial attempt to do the install, I was prompted to select a wired or wireless network, but after selecting and the Roku detecting the wireless network, the Roku could not connect to the Internet.
For me and my LinkSys BEFW11S4 V2/V3 with Firmware Version 1.45.10 from ( -believe it or not... Apr 15 2004- ), the fix was:
1. to enable the wireless router in Win 7 network devices
2. modify the DNS entries on the Router's Web page to the OpenDNS settings of 184.108.40.206 as Primary and 220.127.116.11 as secondary
Hope that helps!