You were on the right track. Unfortunately the data set didn't make it easy if you're just starting out. If the property was a simply an int or a string you would have been just fine. But in the case of this data, the role isn't a string, it's actually a list. You can read up more on lists and data types here: https://neo4j.com/docs/cypher-manual/current/syntax/lists/.
Here's the fix to your query:
match (p:Person)-[a:ACTED_IN]->(m:Movie{title:'The Matrix'})
where a.roles = ['Neo']
return *
