The goal of this exercise is to engage your core and spinal erectors. When these two muscles don't work together, our low back/hips/knees take over as we walk, stand, go up stairs, etc, which often leads to pain in those areas.
When you lay on the roller, press shoulders away from ears and engage lats without upper/mid back arching off foam roller. From there, engage your core so that your low back is now flat to the roller. Contract your abs and slowly lift one leg just a few inches off the ground. When you do that, make sure upper body doesn't hunch and round forward. Focus on lifting the leg by contracting abs and keeping spine flat as opposed to just using your quads. When your left leg is lifted, keep weight in right heel and focus on contracting right glute and vice versa. You are using the same form/muscles that you do in a step-up exercise.