A roux is a thickening agent most often made from equal parts by weight (not volume) of flour and a fat, typically butter. This is the base of many classic sauces such as "bechamel". It is the liquid added later which determines the type of sauce.
For a white sauce, like one used in country gravy, cheese sauces and even in the fancy French bechamel, add warmed milk to your cooked flour and butter. Add slowly and whisk continuously until it starts to thicken. Once it is at a consistency you like, then add your other ingredients to give it flavor. (e.g. cheese, pepper, herbs, etc)
For dark roux, typically used in cajun cooking, melt the butter in a pan and stir in the flour, cooking until golden brown. Using vegetable oil instead of butter is also good to use here. The mixture may be lumpy, so it is important to add the liquid slowly stirring all the while, allowing the sauce to "bubble" frequently, but not to boil or even burn! It's also a good idea to make sure your liquid that you are adding is not cold.
This takes practice and patience.