i'm with kanewolf here. seems like he wants to play local media on the roku but does not have the high end models that have a usb port for a thumb drive.
i personally use miracast to play local media on my roku devices. any old android phone/tablet will connect this way. the newer android devices have lost miracast support as google would rather you spring for a chromecast device. but android 3 and 4 was awesome with miracast support. windows 8 also had miracast built in but for some reason MS killed it on win 10 a long time ago.
but to address the op, the media player needs to connect to a wireless server to play local files. your pc can be set-up as a dlna server or you can use something like the plex software which is basically the same thing but they make it easy to set-up for a small monthly fee.