I've made my roux the last ten times in the microwave. Unfortunately, I've yet to codify the process, so all I can offer is advice and generalities.
First, you CAN burn roux in the microwave. I've found as it gets darker I need to reduce the coooking time for stirring sessions more often.
Second, use only a pyrex container. Roux gets really hot! The first time I made it I used a "microwave safe" tupperware container. The bottom of the container melted!
I use equal parts olive oil and flour. No particular reason for the fat choice -- its just what has worked for me. I start nuking it for a few minutes, remove and stir. I continue this process -- continually reducing the cooking time. I apologize again for the lack of specifics.
Aside from the container disaster, I've only burned the roux once this way. When I make roux on the stove it takes me about (and sometimes more) than an hour to get it to the color I like for gumbo. I'm probably too cautious with my heat level, but burning the roux at say the 45 minute mark is a disaster.
I think the main reason why I like to do it in the microwave is if it does burn its not that much of a loss. I can whip up my mud bug stew (a streamlined seafood gumbo) for a "quick" week day meal this way.