Have you started the Roon server. The Windows Roon installer, actually installs two applications:
Roon.exe - this is the remote control and is what offers the Roon UI. It also, where appropriate, offers Roon Audio endpoints (handling either the built in audio or USB connected DAC) which can be enabled Roon → Settings → Audio.
RoonServer.exe - This is the server component. This (or the equivalent for other OS’s) must be running on a machine somewhere on your network for Roon to work.
RoonServer.exe can be configured to run on Windows login but may not start by default.
For more information you can look at:
If you have RoonServer.exe running and Roon.exe won’t connect to it, then, you may have a firewall blocking Roon’s operation.
If this is the case, the page linked below will describe the firewall exceptions that need to be put in place.
Edit: improved clarity of the Roon Server description.
