Please check if roku 3 supports VPN setup or not. AFAIK, ROKU 2 does not have any VPN setup. So you either replace your router with a VPN capable routers such as ASUS rt-ac66u, rt-56u or any other routers that supports dd-wrt or asus-merlinwrt OR use the internet sharing connection in your windows PC networking.
Meaning, your computer will be the one connecting to the internet and your roku to your computer network.
If you are not computer/network savvy then it might take some googling and reading to figure this out but definitely will not take more than a couple hours to set the network either via DD-WRT setup or Microsoft ICS.