Yes, MediaMonkey needs to be running for it to be able to act as a server for your music. You'll probably not have any need to convert as MP3 support is pretty universal.

Thanks Lowlander! I was unaware of Auto Conversion. However, when I dug into it a little more I found that it is only available in the Gold version and I have the free version.
All my music is in MP3 format, mostly 256 kb, but some at 128 kb. Do these need to be converted to play on Roku devices? I do not have any movies, so I don't need those converted. Also, I don't have a dedicated media server device. I use a Lenovo laptop with an external drive which houses all my music and pictures. MM is installed on the laptop. The Lenovo is wired (HDMI) directly to my Samsung smart TV which is connected to my surround sound system in the living room.
I recently got another TV for my "man cave" along with a cheap amp and speakers. It's this unit I am trying to set up to listen to all the music on the Lenovo. This TV uses a Roku to connect wirelessly to the MM media server. BUT, all this only works intermittently. For example, does MM have to be on in order to access the music? That sounded stupid!! I guess there is a question hidden in here somewhere, but any advise or references would be appreciated.

No, MediaMonkey presents itself as a Media Server and serves the files from wherever you have them stored. If you have Auto-Conversion enabled it will show the files with their auto-converted extension, but they don't exist. Auto-Conversion happens on-the-fly when a file is played by a Client.

I am in the process of figuring out how to use MM as a media server and have a question. After setting up a successful version I noticed in my Windows 10 File Explorer that there is a folder that contains references to my entire MP3 library. My question is, are these folders actually taking up duplicate space on my hard drive or are they jus references to the actual files that contain my music.
Thanks for the help.