I bypassed the router and it didn't re-buffer.Was able to watch two movies without interruption. Hooked up the router and it was back to not loading the movie and re buffering. What does this mean?
Connecting directly to the modem means that the Roku had to be using your ISP's default DNS settings (which are unlikely to be OpenDNS) - so you may want to have your router also using the ISP DNS settings.
Alternatively, you might want to download and run NameBench
to see what it determines to be the best DNS for your location. (You needn't change any settings in NameBench, just install it and run it - refrain from using the internet while it is running). After entering the DNS recommendations from NameBench make sure you power-cycle everything (modem/router/Roku).