Since Roku does not allow you to manually change your DNS settings, you will have to configure your router to use SmartDNS with your Roku player.
To use Roku apps, you also need to block access to 184.108.40.206 and 220.127.116.11 from the router. Please see this guide.
Getting US Channels on Your Roku From Outside the US
To add US apps to your Roku account, you will need to have a Roku account located in the US. Simply selecting the US as a country during signup will not be enough since Roku will check your location during the signup process.
We have a step-based tutorial here as well: How to get US Channels on Roku.
To get around this problem, you will first have to configure your router with SmartDNS. Then once your setup has been verified in your SmartDNS dashboard, you can now visit http://owner.roku.com and create your account.
If you choose your credit card as your payment method, fill out all info with US info, and once you have to input your zip-code, simply make sure that the zip-code has 5 digits and that the last is included in your real zip-code. Let's say my real zip-code is 1600. I will then put 01600.
Now you have a US-based Roku account, and you can add the channels you need to your account. Then proceed to do a normal setup of the Roku box.
If you have already set up your Roku box with a non-US account, you will have to reset the Roku to factory settings.
From the Roku home screen, select settings > factory reset, and follow the on-screen instructions.
The first step of troubleshooting should always be to restart the device(s) and router. Then check your setup status in your SmartDNS dashboard.