Core and seed the roasted pepper. If you don't want to roast a pepper, try using a roasted pepper from a can or jar but only if they are packed in water. The peppers packed in oil have a distinctive taste that I find nasty.
Add the roasted pepper to your blender or food processor, then the mayo and then season with a little salt and pepper.
In short bursts, blend or process the pepper until you have a nice smooth sauce.