If you have a Roku device and keep on getting the notification that the device is overheating, this is what you need to do. Let's just say unplugging the device and letting it cool down should be your first option and then once it's cooled off I would try cleaning the device to see if there is any grime build up. If you do this occassionally you will hopefully beat the device notification from alerting you.
If that does not work then you can follow additional steps from the link below.