Roux is supposed to be easy...I had three tries at it today and finally gave up.
Knox,
Here are two more methods to try.
I read about an "instant" roux technique in one of Paul Prudhomme's books. He said to heat the oil to a fairly high temperature, then add all the flour at once and stir like crazy. Gets you a dark roux in a few seconds. I tried it and it worked, once I learned to control how dark I wanted it by how hot I got the oil.
You can also make roux in a microwave. Put 2/3 cup each of flour and oil in a four-cup measuring cup and nuke on high for six minutes. Then stir the mix and nuke again for another 30 seconds or so to get the color you want.