My recipie for PERFECT roo steaks:

Bring the fillet steaks to room temperature - that's right, leave them on the bench for AT LEAST one hour before cooking. Then heat your pan really well (I use a cast iron griddle plate or steel frypan - non-stick stuff doesn't get hot enough) or preheat the BBQ. When hot, oil the steaks and put on the BBQ cooking as you would a normal steak.

Now the TRICK with roo is because it is so lean you will not want to cook it all the way throuh, as others have said. But since roo fillets are often quite nice and thick, cook them til well-browned then take them off the grill plate and double wrap in foil while you plate up the veggies. THEN once the meat is rested (for at least 2-3 minutes), turn the BBQ or grill back on, split the roo down the middle to expose the (still uncooked) centre of the fillet and place it cut side down on the BBQ or grill plate for about 5 -10 seconds (I lean more to 5 seconds). It should then be cooked medium-rare without still being bloody. Resting the meat before splitting it is critical to this method (which I discovered by dishing up one-to-many pieces of roo that were still ready to hop around the paddock....)