Establish that Penny wants to roam (5)
I believe the answer is:
prove
'establish' is the definition.
(proving is a kind of establishing)
'penny wants to roam' is the wordplay.
'penny' becomes 'p' (**).
'wants' is a charade indicator (letters next to each other).
'to roam' becomes 'rove' ('rove' can be a synonym of 'roam').
'p'+'rove'='PROVE'
'that' acts as a link.
(Other definitions for prove that I've seen before include "13 [SHOW]" , "Verify" , "Show by evidence" , "Demonstrate conclusively" , "Establish the validity of" .)