Access all your local media through your Plex Media Server
Plex for Roku gives you access to all your local media by connecting to your Plex Media Server. Install Plex Media Server on your computer and configure it to point to all your local videos, music, and photos. Then the Plex channel on your Roku can connect to your Plex Media Server so you can enjoy that media on your big screen.
And it's not just the Roku. Once you have your Plex Media Server set up you can enjoy your media on all sorts of devices with Plex clients, including Mac and Windows computers, iOS, Android, and Google TV (just to name a few). Check out the wiki for more information on Plex in general, starting with this guide.
You can also access all your myPlex content on your Roku. myPlex lets you queue videos from various websites to watch later on your Roku, as well as share Plex Media Server sections with other people.