My roku streaming device is froze on this blue screen and will not change?

Glenda, Are you connected to your tv by HDMI or AV cables?
The blue screen is usually an indication of one of two things.
1: The HDMI cable has come loose but not entirely disconnected (Turn off Roku and TV unplug the HDMI cable from the Roku AND Tv and reconnect them making sure to seat the ends securely and turn on TV and Roku in that order)
2: your TV or receiver may not support HDCP (a content copy-protection solution) over HDMI. This is generally true for older TV models that have early HDMI implementations that do not follow current standards. Try connecting your player with the included A/V composite cable instead.

You shut it directly and then restart.

List of Latest and Updated Roku Features and tips & tricks:

• Roku has both Android and iOS versions to it as well.
• Mirror screening option is the coolest option.
• You can Pause, your videos which you are watching on your streaming device.
• You could choose from the many screensavers or gallery apps, if you want to have your favorite poster or icon.
• After you activating a Roku account you can get your favorite gaming seasons.
• You can cast your files, music or videos from mobile to TV, available for both Android and iOS versions.

Frederic Rapp above in answer #1, first suggestion did the trick for me. In fact, that was exactly the strategy that the Roku help guy that I finally reached on the phone suggested, with one addition. On the first go round when I tried this it still didn't work. So here's what finally did the trick:

1. Turn off TV and Roku.
2.Unplug HDMI cable from TV and Roku for a couple of minutes and then reverse it so that the end that was plugged into the TV is now plugged into the Roku and vice versa.
3. Turn on TV and Roku (in that order).

Don't ask me why that did the trick but I have done this more than once and it does.