Sabres goalie Ryan Miller stopped all 20 shots he faced before leaving the game 2 minutes into the third period after being upended behind the net by New York's Scott Gomez. Miller limped off favoring his left leg and did not return.
Markus Naslund and Nigel Dawes scored for the Rangers, both goals coming against Sabres backup Patrick Lalime, who stopped 11 shots.
The Rangers dropped to 2-7-2 in their past 11 games, and are winless in their past eight on the road (0-7-1) since a 3-2 overtime win at Chicago on Jan. 16. New York has been outscored 31-8 during its road slump, raising questions about coach Tom Renney's job security.
The Sabres bounced back from a 6-3 loss at Philadelphia by jumping out to a 3-0 lead against the Rangers.
Paille opened the scoring 15:50 in when he tapped in Roy's centering pass to cap an odd-man rush. Sekera scored less than three minutes later when Roy gained the zone and dropped the puck back to the trailing defenseman. Sekera then slapped the shot from the right point that sneaked in over goalie Henrik Lundvist's right shoulder.
Roy made it 3-0 with a power-play goal 14 minutes into the second period by banging in a rebound that caromed off both Lundqvist and Sabres forward Paul Gaustad in front.
Notes: Sabres D Henrik Tallinder returned after missing 12 games with a shoulder injury. That left D Teppo Numminen the odd-man out, missing the game as a healthy scratch. ... The Rangers' road winless streak is the longest since 2000-01, when they went 0-10-2. ... Rangers LW Lauri Korpikoski returned after missing one game with an upper body injury. ... The Rangers gave up their first power-play goal in six games when Roy scored.