According to the Roku site they are compatible with HBO Go. HBO Go traditionally requires a subscription to HBO through your cable or satellite provider. Once the Roku and the HBO Go app are installed a login process with be provided on the screen.
The Roku will provide a code for you to use online with your HBO Go account in order to activate the account on the Roku. The entire process is explained clearly on the television screen and only takes a few minutes.
If HBO Go is not accessed in 30 days, reactivation may be required. The process will be explained and is fairly easy to complete. The only downside is that your cable provider must be participating in HBO Go, and not all are.