It's not quite that easy (but it's not hard either) to set up a Logitech Harmony remote to control a Roku media player. The remote supplied with the Roku 2 XS (for example) uses Bluetooth. Bluetooth uses radio waves not infra-red light to communicate with the Roku unit. Therefore, you won't be able to clone your Roku remote using traditional techniques.

In the Logitech Windows desktop software (currently version 7.7.0,) from the "Devices" tab choose "Add device." Select category "DVD" (yes I know that this is not intuitive) and then choose subcategory "Digital Music Server." You will then be able to choose manufacturer "Roku." Enter your model number, "2XS," for example.

Logitech has much (and perhaps all, although this is continuing to evolve in Logitech's server side database) of the functionality of Roku's original Bluetooth remote already programmed in. So, for example, you could choose Pandora or Netflix from your Logitech Harmony remote without having to do any additional research.

Good luck,
Wayne Reses, Jr.
(gern)